Due to the complexity of modern software development, you absolutely have to use software for agile project management. For the simple reason that the human brain cannot by itself separate the trees from the forest, cannot zoom in to be able to concentrate without distraction on a current task, then zoom out by degrees to see the various bigger pictures.
Any software you feel helps you is fine. The lighter the better, generally speaking.
Since one of the most important considerations is that it all be as close as possible to the code, and allow full traceability from requirements to commits and back, my latest experience is making use of GitHub itself for a self-contained, light agile process tracking experience.
You can take a look at an open source example here: https://github.com/victorkane/lit/issues
Early versions of Project Flow & Tracker used at http://awebfactory.com.ar
So over the past couple of years I have been working on web applications using the Drupal CMS as a web application framework, and I have used a lot of project and configuration management tools in the past. But excited about a year ago with using Drupal itself as a project management tool and a rapid prototyping tool at the same time, I developed the Project Flow and Tracker, designed to be a Drupal installation profile (in case that doesn't translate instantly and intuitively into something for you, it is a downloadable Drupal, which, when you download it and install it, will become a Project Flow and Tracker instead of just a plain vanilla Drupal installation).
So I went to Barcelona DrupalCon in late 2007 and gave a presentation on it and got a lot of really cool feedback. And, I actually used it with some clients, and got a lot of really useful feedback there.
Enough time has passed for a couple of things to happen:
Drupal itself is much more powerful (panels 2, nodequeue, jquery ...) and the ideas have had some time to mature pretty well.
This is a log of how Project Flow & Tracker was built.
Somewhat outdated, but kind of fun, just to get your head wrapped around the why's and wherefore's, here it is.