Me and my roommate (who's an art major) were just having a conversation about how they should make gray scale pencils, we tried googling it but with no luck. Is there such a thing?

Yes, there is.. I used to have a set of about 25 shades of gray.

That was, um, 19 years ago though... but I'm SURE they make them. Here, I just did a quick Google... Prismacolor has some

Look at the color chart - see the % section at the bottom

http://images.nitrosell.com/product_...rts-PRISMA.jpg

Great find with that color chart, StaticFX!