Most people here prefer the cost, quietness, and control of using lancets free-hand, but I've still got a ton of lancet barrels left so I've figured out how to use the pens pretty well.
My favorite lancet pen so far is the
Accu-Chek FastClix. I got it for free with the glucometer (which I hate), but you should be able to buy it separately. It loads 6 lancets at a time and has a very soft
CLICK sound when used. One thing to be aware of is that the hole where the lancet comes out of is off-center. This is useful because it allows you to get as close to the edge of the ear as possible while still having enough pressure for it to penetrate properly, but it can be tricky figuring it out at first. Yes, the lancet pen refills are expensive comparatively (I think they're around $8 for 100; luckily, my diabetic aunt had a ton of these from her previous insurance and she gave them to me), but you
can re-use a lancet more than once; you're
wanting to draw blood so it doesn't terribly matter about the degradation of the lancet vs. a syringe, which you
never want to use more than once.
One other thing to know about pens is that you want to start on the
lowest setting first (with most pens that have settings, this is
1) and work your way up, testing it on your own finger until you can draw blood. You don't want it set too high as this can puncture the ear instead of poking it and the cat will often notice. The first few weeks, you might have the pen at a higher setting, but you will want to lower it as the cat's ears learn to bleed better (all of my lancet pens have no problem drawing blood at 1).
The other lancet pens I have either are very loud, don't have depth settings, are cumbersome to use, and/or are visually obtrusive, although some of them do take the cheaper regular lancets (you can buy a box of a 100 for around $3).
Let me know if you need any help with this or are having any problems.