I did some wood-burnt doodles in 2008 (here and here); I loved it because it's just like drawing on wood (with a slower pace). But the tool I used back then was the basic kind which you can purchase from most craft stores. It's inexpensive but the down side is that you can't adjust temperature on it. Last week (yeah, only took me 3 years), I finally made up my mind and treated myself with a good set of Razertip burner and pens. I tested it last night and I can really tell the difference (still need to experiment on adjusting the temperature setting, though). The pen I used is a really fine 0.08mm ballpoint pen. The wood discs I used are the same kind in the first link, but you can tell the difference in the linework quality.
PS: If you are looking for a set of good burner and pens, I ordered mine from Nedra; she is a professional wood-burning artist and is so helpful.