I love my mechanical pencil.Of all the writing materials inside my bag, the mechanical pencil is, without a doubt, the dearest to me. Not that I use it the most. I use ballpens way more often than that. It does not even have a sentimental value added to it. I cannot be sure. I just love it. 
It might be the pleasure of hearing the clicking sounds everytime I push the lead out. In the silence of the night, the clicking sounds of the mechanical pencil remains to be my only companion.
It might be the thrill, if you can call it that, of finding out if there's still any of the lead inside. Can you still write with it on the next push, or should you prepare your extra leads to fill it up? If you have nothing else to do but concentrate on the little things, this kind of "thrill" is more than welcome.
Or it might just be the grip. My mechanical makes the best match with my hand. I do not have to grip to tightly just to hold it, nor am I unable to put any force at all due to the pen's size. When you write a lot, your pen or pencil is your friend, so be sure that it makes you comfortable.
Some may call it childish, and it probably is, but given that it already is, what can I do? The pen is my companion whenever nobody is available. We cannot change that easily. I'm pretty sure an item or two is also held dear to you.