Yes, we all know the story, but it isn't true. The Americans used pencils too, until Paul Fisher developed the Space Pen, at no cost to NASA. They then bought the pens from him, but so did the Russian space agency. Quite a few of these pens have been to space since, from the Apollo missions to the ISS, from ARIANE to Soyuz and MIR.
Down here on Earth, the pressurised refills make them more reliable. They have a long shelf-life; can write at any angle, including upside-down; and can write on damp, greasy or dusty paper; and they'll work in more extreme temperatures than other ballpoints.