There are two extremely common concerns that are expressed to me through email, comments and forum posts, that both have their answer in better control over how much weight you place on your pencil when drawing.
The first is being unable to go from under-drawing construction to completed work without seeing the "messy" under-drawing peeking from underneath.
The second is being unable to produce anything but harsh looking shadows.
In both cases, being able to produce more values from your pencil will help greatly to correct these issues.
How do you gain greater control of your pencil?
Back in high school (I attended an Art's Magnet Academy), there was an entire semester where we began each day in homeroom by doing a pencil-weight control exercise. It's very simple. You take a piece of paper and draw five boxes on it. Then, using a single pencil, fill in each box with a different color value, from lightest to darkest.
The next day, draw six boxes, and repeat the exercise.
The following day, seven boxes -- and so forth and so on. 
No matter how many boxes you draw, each one must always contain a slightly different color value. At the end of a month, you'll be the master of any pencil you pick up. Almost any pencil you find can create hundreds of color values!
To help you practice, I've created a printable worksheet, with your first 13 days of practice ready for you.
Chrisbreen13 (unregistered visitor)
This is a great exercise, I did this before In my high school art class and it really improved my shading :) .