Sometimes I write down radio frequency and squawk code changes as well
Always a good idea, especially if you're not completely familiar with the airspace. It can prevent that warm, wet feeling when 2 F16s (or whatever) suddenly appear alongside you
When I was stil flying - QNH, airways clearance, taxi instructions (at somewhere complicated or unknown), assigned HDG/Level, and Squawk/Freq. change. ATC has a shorthand, for those unblessed with a modern system, might be worth learning