If you are willing to make a long term investment then i'd recommend the best you can afford as good pencils will last a lifetime unless damaged (use depending perhaps!). Another thing I'd note is that cheap lead is cheap for a reason. Better quality lead will be better to work with and will be less prone to snapping.
As a starting point http://www.cultpens.com
has a great choice can probably supply almost any pencil out there. They also have a great guide which may well introduce you to the variations avaialable and many of the reasons to the choices available, along with a huge table at the bottom of the article allowing for an easy comparison: http://www.cultpens....al_Pencils.html
Pentel GraphGear 1000 is my favourite. A great quality mechanical pencil which has retractable nibs, these come in useful if you want to throw them your pockets or a case with other items as it prevents the tips which hold the lead from breaking.
Hope that helps
Edit: another thing I just though of is the number of lead sizes you require - if you want variation and want all your pencils to match for a similar "feel" then this may be a quick way to narrow down your search quickly as not all pencils comes in the thinner and thicker sizes.