I've found a personal Kanban board very useful. Kanban allows you to limit your work in progress. I use LeanKitKanban, and restrict myself to 3 things on the go at any time, with 6 things (about a week's work) in a backlog. Ongoing concerns take up one of my "in progress" slots. I also have a "waiting" column which I limit to 4, which means that if I want to wait for someone else I have to chase up an existing problem to free the space.
This really helps me to finish one thing before I start another, and to say "No" if I'm already booked up or have too many ongoing concerns.
LeanKitKanban has icons and different colours, so I can also visualise deadlines, things which have slow feedback loops but will come back to bite me later, small tasks vs. big projects, tasks which need to be expedited, repeating tasks, etc.
+1 for Pawel's suggestion of "Getting Things Done", which amongst other helpful suggestions says that if it takes 5 minutes, just do it (and don't put it on the Kanban board).
These two posts can be helpful in terms of pointing resources on personal Kanban: