I don't know of pencils with undo, but here's one with "replay." (If you point at [X] in your notes, it will play back the recording of the lecture at the point you wrote [X].)

http://www.engadget.com/2007/05/30/livescribe-shows-off-leap...

The Apple Newton had two levels of Undo (with redo disabled, otherwise just one).

http://www.youtube.com/watch?v=BKHelCE9QAg