On Windows and Linux I used to do it with the build-in mechanism supported by MS PowerPoint but just for PP slides of course. For the rest I used Jarnal, a cross-platform Java-based app. However Jarnal did never really convince me. It is more suitable for tablets rather than for normal notebooks. But now I found Skim.
Skim is a PDF reader and note-taker for OS X. It is designed to help you read and annotate scientific papers in PDF, but is also great for viewing any PDF file...and it's Open Source wherefore it's always worth mentioning. A list of features can be found here. Beside an excellent UI experience and the capability of support of interaction with LaTeX, SynTeX etc it is really cool that you're PDF's itself won't get polluted by your annotations. This means you just open your pdf file with Skim, put your annotations and highlightings and save it as usual. If you then open the pdf just normally with Previewer you won't see anything of your previous edits. Of course there is also the option of exporting your edits.
Btw, for direct highlighting of webpages you might consider Scrapbook which is a nice add-on for Firefox.