I do both. I can sketch with a pen and not be afraid, because I can just scan it later and clean it all up.

Pencils can be messy, but there's a lot you can do with them that you can't do as well with pens, like smudging for shading, erasing to make highlights, and stuff like that.

Each one has its own good things about it, you just have to know what you want to do, and then pick the right one for the job.