To-do lists can be scary. Once you grab that pen and start writing down everything you need to get done, tasks start popping into your head as if from an inexhaustible fountain. Soon enough, the list is so long that just the sight of it makes you nauseated.
There are two things to consider, though: one, that to-do lists aren't for everyone - some people know intuitively what they have to do at any given moment; and two, that there are right and wrong ways to make to-do lists, if I may be so bold. Let me clarify this.
The wrong way to make to-do lists is to start making them out of the blue, with no habit of doing them, and make them insanely large and all-inclusive on the first go. You won't know where to start. The list will seem like so much work that you'll just crawl under the blanket and cry. You may even feel entitled to an entire bucket of ice cream to compensate the sad mood you got from just looking at the list.
The right way to make to-do lists is to start easy. Set a limit of how many tasks you'll include to your first to-do list, for example five. List the five that come to your head immediately, and then organize them by the amount of willpower they take to be executed completely. Then you can begin executing the tasks, starting with the one that takes the least willpower. This is important. Then continue to the more demanding tasks.
Once you've kicked off the positive feedback loop - aka you finished the small task, you marked it done and felt good about yourself, continued to the next in search for that same rush of feeling good about yourself, finished that, moved to the next, and so on - and finished your first to-do list, you can write another one. You can make it longer if you want to, but I'd suggest you try making the next one a little bit more demanding instead of longer. This way, you get the important stuff done instead of a lot of little things. (The little things will sort themselves out in the process.) The same positive feedback loop will carry you through this list as well, but this time, you'll get more done.
Once you've become accustomed of making to-do lists, you can start setting deadlines for your tasks. This is especially handy if you're studying and you have homework and essays to write and exams to take - those have deadlines as they are, but you can set subdeadlines on every subtask you come up with in your study schedule. I call to-do lists like these Next Actions Lists (NAL), according to how David Allen describes them in his book, Getting Things Done. (Here's a WIP article that goes more in depth about the book.) The NAL allows you to prioritize your tasks in a way that you can see, by looking at the list, which task you should do next, which should get done during the next 24 hours, and which need to get done but aren't in a hurry. But of course, if you don't need deadlines for your tasks and you're fine with regular to-do lists, you don't need the NAL and can ditch the idea completely.
To-do lists are a nice tool for getting stuff done and to stop procrastinating. They don't work for all, though, and for some, they can even be a cause for excess stress, rendering the point of the list futile. Do it your own way. Listen to your gut.