My pencil of choice is an old Pentel quicker clicker mechanical pencil from the days before they started adding those danged rubber grips to them (I would like to say the last time I saw one in a store was in 1997 or so). I have been taking parts from the newer models to keep my old ones functional over the years.
I always keep a fairly nice mechanical pencil with me at all times. It's got a nice comfortable grip and, more importantly, a retractable tip. I've had mechanical pencils poke holes in too many things.
That and I always keep one of those eraser pens with me at all times. In case the muses descend.
Mechanical pencil because I'm good at losing sharpeners. I'm not even sure I have one neutral
Only problem is sometimes I press down too hard. Recently I found that using a hard 2H pencil to draw a light image and then the mechanical to go over it works in my favour.
The 2H was light enough to do subtle shading as well.
I also have one of those pencils that are all made of the same material. The sort where even it were blunt you can still use it and it you hold it you get marks on your hands. Not sure of the proper term for it but it's quite nice to use.
I've not really experimented much with different brands but I doubt I'd notice much of a difference.