While mechanical pencils have numerous good qualities, the one disadvantage is that they are often banned for standardised tests. In particular, you must not use a mechanical pencil on the ACT or SAT tests in the United States.
This is largely because the machines that automatically read these tests are believed to have difficulty picking up the marks made by mechanical pencils. Whether this is actually true or not (either now or in the past) is irrelevant: the ban stands, and so it's best not to put your score at risk. With any other paper-based tests, it's always best to check before the day of the test to make sure you don't fall foul of a similar ban.