Don’t use bookmarks or favorites in your browser.
Do index and tag your bookmarks using some online service like del.icio.us.
I used to be a fan of FavoriteSync which would periodically upload all of your Internet Explorer favorites to an FTP site of your choice. There was also a Firefox plugin that would periodically sync your IE favorites and FF bookmarks. The problem with this is that you still have to add and remove bookmarks on a computer which has FavoriteSync installed and connected to your own FTP server.
Now I use del.icio.us along with the del.icio.us plugin for Firefox and the extension for Internet Explorer. The beauty of the system is that I can tag sites using keywords that I will search for later when I’ve forgotten the name of the site. I can also share the bookmarks with people who I think might be interested in them and search the tags of all 2 million users.
You may also notice that you can see a live list of my most recently tagged links on the right side of my blog. This is just an RSS feed of my last 10 links.