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Pen is the best, I use a fountain pen. I get hand cramps if I have to press down to write so it lets me use a lighter pressure. Besides, I don't erase anything, just lightly cross things out. That way I can always go back to it later.
When I was in university obviously I'd always use pen on exams or you can't challenge the grading on a problem (that was the rule where I was anyway) plus you waste time erasing things vs just crossing things out. No, professors don't waste time laughing at what stupid shit you crossed out.
So what else would a person use other than a pen? Also, unlined good quality loose blank paper for me.