Ooh! I always wanted one of these (heck, if I choose to do engineering I might create a design of it just for kicks). A flaming pen. Take of the lid and you can write away to your heart's content, but what's that, there appears to be a locked door that only a magnesium flame can cut through? Well just click the lid back on, face the non-writing end at the door and activate away. All of a sudden, a white-hot plume of flame erupts a few inches out of the pen, slicing through those pesky locks like a warm knife through butter. After all, if you didn't want a door opened, why not make a wall instead?
EDIT: Alternatively, if you get one of those pens with the ball in the maze, but replace the maze with lots of balls, you could make the balls incendiary grenades and use them to get a fire going when you get lost because you were too busy hand-writing your novel to notice that you'd left your house, flown to a foreign country and become lost in the wilderness.
EDIT2: For all those cafes at risk of being robbed, just buy a sword-coffee machine, and when someone tries to rob your place, just pull out a freakin' katana and chop off their gun hand (or head, depending upon the situation).
EDIT3: An arrow with a magnetically suspended vial of liquid nitrogen within a vacuum in the arrow head (obviously the vial and arrow head are fragile enough to shatter on impact). Then you can get guaranteed kill-shots, or, if they are inside a wooden fortress, weaken the structural integrity of the walls/gates by super-cooling them.
EDIT4: A water-purifier-pen. So when you get the fire going with your incendiary grenade pen, you can get safe drinking water.
A taser-sword-pen. Once you have water and a fire, you can go hunting for food, and if you end up biting off more than you can chew, you can use the taser in the concealed sword in the pen to stun it then kill it with the sword itself ... also, the electricity for the taser could be charged from writing, so that by the time you actually need to use your taser-sword-pen as a taser you have built up enough charge. Though in truth, it's more of a knife then a sword, but everyone knows that knives are useful too.
EDIT5 (yes, so many edits, I apologise): A walking stick axe. Instead of pulling a sword from your walking stick, it has a blade that falls out similar to a fan, then locks into place, making an axe head. Also, it can be used in conjunction with the other pens to cut wood for a proper fire, or as a back-up weapon for when a taser-sword-pen that is actually a dagger just isn't enough.
