I've used a mechanical pencil on every standardized test I've taken and nothing has gone wrong. They make darker marks and erase better, so I like them better.
On the SAT and some APs, the marks from mechanical pencils actually go through the answer sheet and mark on the other side, though... you have to watch out for that.
Supposedly, the reason they don't allow mechanical pencils is because people would poke holes in their answer sheets so they had to rebubble all their answers, and they'd cheat by getting answers from other people.(?) Doesn't quite seem feasible to me, but w/e.