I am starting to turn the corner on pencils, and this Uni-Ball Color Mechanical Pencil 0.5mm Blue is helping lead the revolution. I know colored leads have been around for years, but my general lack of interest in pencils made me forget all about them. Little did I know how much I was missing. The Uni-Ball performs admirably as well, with a nice feel, comfortable grip, and a nice, spring-loaded cap.
I must not be the only one who likes them - JetPens is currently sold out of 6 of the 12 models they carry. They generally restock fast though, so keep an eye out if the one you want isn't avaialble.