I always write notes to the examiner... Feedback on the exam (even though the marker is probably not got anything to do with writing the exam) or random thoughts I have. Little doodles of octopie eating the questions.. Frustrations at not being able to do something or when I find something particularly easy.
Favourite was, after "pens down" I wrote "This paper was much more difficult than the previous past papers!". One of the invigilators noticed and got in a massive strop shouting "STOP!". I was writing 5 seconds after the end. He came over, then circled my little note and put a daft "Do not mark this, it was done after the exam ended" or something and signed it. I nearly laughed in his face for being such a collosoal dick - I hope the marker enjoyed it though. Most invigilators don't mind you finishing your sentence, I've had them actually skip collecting my paper and come back to me because I had a few more things to write before!
My favourite note was when I had a few min spare so I made up a question - in every past paper we had to draw a hurstprung-russel diagram and it was a super easy 5 marks we were all expecting. Our actual paper not having this nice easy question I answered it anyway and added a little note saying I'd appreciate 5 marks :P Tongue in cheek of course.