Choosing a digital notes system
Your digital notes system is the part of your PKM system that stores notes that will have enduring value to you. You don't have to use a fancy tool to store notes, though there are many, many fancy tools out there.
Begin by considering your requirements:
Will your notes be mostly text, or must your note system have strong support for handling images and other media types?
Do you want an “all-in-one” system that integrates notes, calendars, and tasks? Or do you prefer to keep your tasks and calendar separate from your notes system?
Do you want a system that makes it easy to publish and share your notes with others?
Are you comfortable storing information in the cloud, or would you prefer to keep all your notes locally on your computer?
If you’re starting with PKM, I suggest you start with one of the options under Simple and Free. You don't want to start with a complex notes system and spend time engineering (and likely over-engineering) your solution before you have established a note-taking habit and understand what structure and features you might use.
Simple & free notes applications
Microsoft OneNote (free with limits)
Networked-thinking notes applications
Networked thinking applications are centered around bidirectional linking, a quick and easy way to see connections between notes you might otherwise not discover. I recommend Obsidian because of its large community and the available resources for learning it. It has a robust free option with no limits on the number of notes.
Obsidian (includes video review)
Video quick start guide for Obsidian
For in-depth coverage of Obsidian, I recommend David Spark’s Obsidian Field Guide ($)
Other note-taking systems
A hot category of note-taking systems is those that integrate notes, tasks, and your calendar. These include early movers such as Notion and Coda (with a database focus and optimized for team collaboration) and upstarts such as NotePlan, Capacities, and Reflect Notes, which focus on individual note-taking and action management (calendar, tasks).
If you are interested in more advanced note-taking systems or in alternatives to my suggestions for "Free and Simple" and "Networked Thinking" tools, I suggest you refer to Tool Finder's review page for note-taking applications.