If you have no special requirement in mind, the Pentel lead that is available practically everywhere is nothing to sneeze at. I probably use more of Pentel than anything else. The benefit in choosing other brands mainly comes when you want a particular effect or want to optimize for a particular situation.
For example, Pentel leads run a bit harder than other Japanese brands. This makes them a bit more brittle. For a 0.3 mm pencil without a sliding sleeve to support the extended lead, I would choose a Pilot or Mitsubishi lead to reduce breakage.
Sometimes you want to make really bold and dark lines, so you go for a 0.7 or 0.9 mm with the darkest lead you can find. Those sizes are only made as soft as 2B, but the Pilot Neox Graphite 0.7 & 0.9 mm 2B is actually more like a 4B. It's the darkest lead currently on the market in those sizes. (I have some long-discontinued 6B that I use sparingly.)
When I'm writing on index cards, I usually want a harder than usual lead, writing with a sharp edge to make clean lines that won't smudge. I like Faber-Castell HB in 0.9 mm for this because their harder leads don't feel as gritty as other brands.
I have a variety of other graphite leads that I use for specific situations.
Getting into color, for its variety of hues, the Mitsubishi Uni Nano Dia Color in 0.7 mm is usually my first choice. It makes bolder lines than the same brand in 0.5 mm, because the greater thickness allows a lower percentage of structural polymer in the mix.
A big problem with the Nano Dia, though, is that it's not lightfast. Most of the colors will fade away after a month on the bulletin board. The most lightfast colored lead is the Staedtler 0.5 mm in red/green/blue. It is extremely brittle, though, so you need to use it with a sliding-sleeve pencil like the Pentel Orenz. (https://www.jetpens.com/Pentel-Orenz-Mechanical-Pencil-0.5-m...)
Aside from situation, people have different preferences in how the tip feels on the paper. Pentel feels rather slick, Pilot has a more chalky feel, and Mitsubishi to me feels rather gritty. I like a chalky feel when writing on really smooth paper and doing math, but the slicker Pentel suits me better when writing longhand on cheap office paper.
Wood-cased pencils have lead that is darker and less smudgy than MP lead, because wood-cased use a graphite+clay mix while MPs use graphite+polymer. Some people even prefer the feel of wood-cased pencils in hand, but I personally prefer the convenience of MPs.
The all-round best line of wood-cased pencils is the Mitsubishi Hi-Uni. The Tombow Mono 100 series was a consistent second, but I heard quality changed after moving production out of Japan. Some people like the Faber-Castell 9000 series because its hardest grades are smoother than other brands. The Staedtler Mars Lumograph series is known to give a particularly rich black with the softest grades. That may not be relevant to you if you just want them for writing, because I find it practically impossible to write with a wood-cased softer than 4B.
Some fanatics claim that the discontinued Sanford Blackwing 602 was the greatest pencil ever. The lead hardness was about 4B and was unusual for including wax with the graphite and clay. The point wore down quickly, but the lead was particularly resistant to crumbling and it was very slippery on the paper. The line on paper was not as dark as you would expect from a 4B. I would say that the best current pencils give a better line but aren't as slippery. There have been a couple attempts at reproducing the Blackwing, but I've heard mixed reports of how successful they were.
My philosophy of buying pencils is that since there is so little absolute difference in cost between the best and the mediocre, there is no sense in trying to economize there.
This is all fascinating! I have been using Faber-Castell 1320 HB for my D&D games, and they've been great. They're not exactly rich in colour, but a single sharpen is more than enough for a whole day's session. I don't have anything to compare them to though.
I'm going to have to research what you mean by grades.
You mentioned preferring mechanical, but didn't say what kind you like. I've always heard that Rotring's are the grail there, but never looked into it.
If you have never tried using different hardness grades, just find an art supply shop with a display of drawing pencils and try a little scribble with each grade. Note that since every brand is a bit different, you can't use your experience with one to exactly predict the quality of another, even more so when comparing wood-cased with mechanical pencil leads.
As for MPs, if you really get into it, you could end up with many different ones for different situations, sort of like with paint brushes or golf clubs. Even cheap ones can be comfortable and durable. Some people like the Rotring because of the heft, but they are a bit sharp and the weight can get tiring, rather like with using metal polyhedral dice.
