|MadSci Network: Science History|
Information about this subject, like so many "trivial" topics, is hard to come by. Here's what I've managed to piece together:
One pencil collector has seen "lead holders" dating from the 1800s, but the first invention marketed as a "mechanical pencil" was the 1915 "Ever-Ready Sharp Pencil", created by Tokuji Hayakawa and produced at his metalworking shop, which would later grow into the Sharp Corporation.
The first "Ever-Sharp" was merely an "original lead-thrusting device" enclosed in a metal cylinder. Since that time, there have been numerous and significant improvements to the original design, many of them registered at the U.S. Patent Office.
For more information, you can try asking the nice folks on alt.collecting.pens-pencils.
Hope this helps!
Try the links in the MadSci Library for more information on Science History.