My favorite pen for live drawing at the moment is the graphite stick. Why? Because it isn't as messy as charcoal and it doesn't break as easily as a pencil. I have a tendency to press the pencil too hard against the paper until the tip breaks. While drawing live I don't have the time to sharpen it. Imagine you have two minutes to draw something, then you need to sharpen your pen which takes you one minute =no time left!
This is a 9B, which means it is very soft (soft/bland=B, hard=H). Then I can smudge it and get nice shadow effects very easily.
I had planned to write more stuff but since I've been working in Örebro today and I'm going there tomorrow too I need to go to bed soon :)