They're not as accurate as a real pen and usually come with huge 'nibs'. Its like writing in marker pen. Touch sensitive screen technology right now just doesn't allow better accuracy.
The screen is also slow to respond to pen strokes. You definitely can't write as fluently as on paper. Try downloading the Paper 53 app and drawing or writing with your finger to get an idea of the delay.
Pens can be useful for drawing, however, and also things like text editing, where they let you be a bit more accurate than the tip of a finger.
Read reviews of the pens though because some are pretty poor quality. I have. Griffin one that seems pretty good.