Michael Bubb reviews the Staedtler Leadholder for Cool Tools.
I use a soft lead generally and find it needs sharpening one or more times a day. The sharpening can be a bit messy, but tapping it against a wastepaper basket takes care of the extra graphite dust. I still inevitably get graphite powder on my shirt, but it washes out without staining, so I don't really care. Also, it takes some practice to get comfortable with the system. At first the lead comes flying out, so you have to get used to holding the pencil a few centimeters above the paper and releasing the lead to the right amount. It works really well once you get it.
I've looked at other leadholders. If I saw a nicer designed one (i.e. a Parker or a Schaeffer) I might be tempted to get one. Part of what I like about the Staedler is the price and durability. One pencil and a year's supply of lead costs me about $10 at Utrecht art supply. I've lost and given away a few but haven't had any break or wear out.