Pentel P1037 Sharp Kerry
It takes 0.7 mm leads, and it has a cap that is precision engineered. They say: it "is hand-assembled with watchmaker's tools for precision and accuracy."
Its "dual-purpose cap provides proper balance while writing and protects writing point when pencil is not in use." More to the point—no pun intended—it protects your pockets when not in use, while it allows advancing the lead when writing!
As I said, I love it (mainly for underlining in books, as I hardly ever write anything by hand anymore).
I should probably not admit to the fact that I own two other ones (a black one, also for 0.7, and a red one for 0.5 mm leads). I prefer 0.7 mm.
If you want to read more about it, see Dave's Mechanical Pencils .