Ones that have interesting designs to diddle with or labels stuck to them that you can roll up and flick are good too for when you finish in that space of time when you cant leave, or finish early but dont want to leave quite yet and need something to do. Oh and another thing, go for click pens rather than having to fiddle about with lids (unless your the sort that chews them... ew). Plus its also good to have click conversations with your neighbours in the exams. Pens are more than just writing instruments.
Unfortunately I was in the front row for most of my exams so the labels didnt get to be flicked at a person's head but I did aim for the examiners water jug at times.