My favorite mechanical pencil is still the Pentel P1037 Sharp Kerry. However, I recently bought an OHTO Tasche which seems to be a bit of a cult pen.
"Tasche" is German for "pocket."
It's quite a bit smaller and not quite as well produced as the Pentel Sharp Kerry. It takes 0.5 mm leads, but it also has a cap, and it can be carried more easily in a shirt pocket than the Kerry. Accordingly, I find that I am using it more and more.
For a review, see Dave's Mechanical Pencils.
There is one other capped mechanical pencil I know of, namely the Tombow Zoom 505 which is still larger than the Pentel Kerry. I wonder how long I can hold off on buying it. See Dave's Mechanical Pencils. I don't need it, but, as you can find out in that post, "it won the 1990 German International Design iF Award." Perhaps I should not visit Dave's site so often.