For me a quality mechanical pencil. Either full-metal or some softish finger-friendly material. And, important, a good eraser on the back. Preferably one that can be replaced. I've replaced many with cut-out pieces of bigger erasers.
These pencils are good for cross-words, difficult logical puzzles, but also for prototyping your thoughts on paper.
What I missed was a wooden stick, which I use when I walk with my kids though the woods or on the beach to draw various things in the sand.
I use different tools depending on the occasion.
I carry a single refill pencil which I use for simple note-taking and drafts and doodling. For more formal stuff, I use normal biros. For things that are important to me, I use good pens: a Parker ballpoint pen, or gel pens with a thick tip – these latter leave a nice and distinctive mark. Finally, I usually have real cheap biros with me which are for lending for other people and not minding if I don't get them back.
Also, I prefer whiteboards over blackboards because the chalk dust is bad, the whiteboard writing is more readable, and the whiteboard is easier to erase well too. With a few exceptions, I don't get to choose this one though, I just have to use whatever is in the room.
My weapons of choice Uni-Ball Vision Elite pen and Rotring pencil. The pen does not leak, and in blue, it has great contrast. I acquired the pencil to use with drawing templates (I know, old school) but works good as my daily.
I'm pretty happy with my graphics tablet's stylus. A somewhat distant second, though, is a gel ink pen. Third is mechanical pencils (which were actually what I learned to draw with, back in high school; working in grays let me forget about my color blindness.)
If that's what I MEANT, that's what I would have SAID...
I used to always use a black Pilot vball Extra fine, which is one of those inky pens. You can't draw anything decently with a ball point... they skip.
Nowadays, since I draw much less than I used to, I use whichever pen I've gotten from one conference or another. Just last week my Sapo.pt pen from YAPC Lisbon split apart, spring flew out, had to junk it :(