For some reason my hand gets tired writing with pencil, but when I write with pen, it doesn't get tired at all.
When I take notes, I like to use non-lined paper and colored pens so I can color-code different sections. In general, I tend to use pen more than pencil because I like crisp black lines. But I'm very picky about my pens. Right now my favorite brand of pen is the
Uni-ball Vision Elite (Micro) or the
Uni-ball Signo.
When I do math, physics and chemistry problems, I tend to use mechanical pencil. No particular reason why, but it's just that I've come to associate those subjects with using pencil. I also only use certain brands of mechanical pencil, like Pentel or Mitsubishi. They just feel better to grip and seem more precision-engineered than, say, Bic mechanical pencils.
Under normal circumstances I absolutely refuse to use wooden pencils, except for one instance: when I'm taking a standardized multiple-choice test where you have to fill in the answer bubbles. When the tips are dull you can fill in the bubbles faster.