My friend and I just did a little experiment with this. I had a cheap pencil gauge, and got a new Accutire digital for Christmas. The two read 3 psi off from each other, the pencil reading lower. He has a dial gauge, 2 Accutire digital gauges, and 2 old pencil gauges. Using a single tire on his car, and taking repeated measurements of each twice before and after others, we got:
All three pencils: 31 psi
All three Accutire: 34.5 psi
Dial gauge: 34 psi
This led me to believe that the dial gauge and Accuture digital gauges are quite accurate, but the pencil gauges suck and read low. This could also explain why my tires have been wearing more in the center...they are 3 psi high and I already go 1-2 psi over the door placard! Based on this repeated consistency, I would recommend a dial gauge or an Accutire digital and stay away from all pencil gauges, especially the cheap junk available today.