When I write in pencil, almost exclusively will I use a wooden pencil. I've tried a variety of mechanical pencils over the years, but to me, no pencil writes as smoothly as a good wooden pencil. Note that I said "good." Most of the pencil market is saturated with junk. However, there are three writing pencils that I wholeheartedly recommend (in increasing order of preference):
Sanford Mirado. These are cedar pencils that smell amazing when you sharpen then. The lead is dark, sharpens to a fine point and comes with a serviceable eraser. Mirados are generally sold in boxes of twelve that will set you back 2 to 4 dollars. But amazing discounts can be had if you buy them in a case of several boxes.
Staedtler Norica. This is Staedtler's standard writing pencil. In my opinion, it writes much smoother than the Mirado and it doesn't oversharpen as much (meaning you rarely can sharpen it to a point that's so fine the top chips when you put it against paper). The Norica is a joy to write with. Unfortunately, its stubby white eraser really sucks. This is surprising, given the overall quality of Staedtler erasers. I think that Noricas are pricey, but I usually buy them during the back to school specials for about 2 bucks for a pack of 10 or 12.
Staedtler Mars Lumograph. This is the best wooden pencil I've ever used. I took a couple of Mars Lumographs with me when I wrote the PGRE. They have all of the features of the Noricas, but they write even smoother and the lead is incredibly resistant. I've never actually broken the point of a Mars Lumograph pencil. Unfortunately, they have no erasers on them. Lumographs are intended for drafting and are thus somewhat pricey (2-3 bucks a pencil).
Given that you've spent ~$150 to sit the PGRE, you might as well spend a six dollars or so to get a quality writing instrument that won't frustrate or let you down during the test.
Have the rules changed in the past couple of years regarding what you could take into the examination room? When I wrote the test, you were allowed to take in a separate eraser. Considering that most erasers on wooden pencils suck (including the ones listed above), I highly suggest bringing in a proper white eraser. Pair up a Mars Lumograph with a Pentel Hi-Polymer white eraser or a Staedtler Mars Plastic eraser and you've got a wicked writing combo.