I'm a big fan of Pilot and Pentel mechanical pencils. At home I use the larger Pentels, but when I'm out, I carry around the small red Pilot Couleur above attached to my small Moleskine. Ideas often come when I'm away from the desk so I feel like I always have to have pencil and paper wherever I go.
The Pilots have a rubberized coating, hold 0.5mm leads, and hide an eraser under the push button. They stay snugly attached to the Moleskine strap and don't flop around. I also found that you can buy cyan leads at 0.5mm, so I recently acquired a second Pilot. As you can see, they both fit perfectly to the side of the notebook. Now I can sketch in gray or blue, and if I want to share, I can use a paper trimmer, tear out pages and scan. Love love love. These pencils are from Japan, so you can get them at places like Kinokuniya.
I thought the pics might interest some. I spent a little time trying different ways to attach a pen/pencil to my Moleskine, and have found that what I'm doing works very. The Moleskine above is a Reporter, so the strap goes across the short side rather than the long. This lets you clip your pencil perpendicular to the strap on the long side as shown above. Much better positioning than with the regular Moleskines.
There are a lot of other creative hacks out there to attach your pencil to your Moleskine if you don't like my method. Everyday Innovations, makers of the PicoPad sell a pen holder called the Book Sling that also seems well designed, although I haven't tried one yet.
Hope this gives someone some inspiration for their ultra mobile sketching rig. Happy sketching!