I used pencil and paper quite successfully to get the initial entities and relationships down. Especially good if designing with other people, you don't get distracted by the GUI interface, mousing around, getting the background gradients right, etc. Then you can translate it into Visio or Dia or a UML tool that generates both the SQL Schema and your object model...
Usually after this time constraints mean you end up in TOAD or your DB tool of choice getting the tables, indexes, foreign keys and stuff implemented in straight SQL or with their table designer tool. Changes will inevitably come up downstream so don't spend too long getting things exactly, just get the structure right.