That little stick of wood with graphite in the middle (or plastic with retractable leads) is an amazing tool; you can do so much with it. But, you can do so much more if you use a range of pencils to create your artwork. Some assume that the H on the pencil stands for hardness & the B stands for blackness. This makes sense from a logical standpoint and categorizing your pencils based on that would not affect their performance. History, however, tells us otherwise.
An excerpt from pencils.com says,
"Graphite came into widespread use following the discovery of a large graphite deposit in Borrowdale, England in 1564. Appreciated for leaving a darker mark than lead, the mineral proved so soft and brittle that it required a holder. Originally, graphite sticks were wrapped in string. Later, the graphite was inserted into hollowed-out wooden sticks and, thus, the wood-cased pencil was born!" - http://pencils.com/pencil-history/
Koh-i-Noor-Hardmuth is one of the worlds largest pencil manufacturers. They were created in Austria in 1790 and quickly acquired a reputation for their quality. Because of this many pencils across the world and many European manufacturers grade their pencils based on the H, B system. The H stands for "Hardmuth" as in Koh-i-Noor Hardmuth and B for "Budweis", Budweis Czech Republic being the headquarters of the Hardmuth company. F was chosen as a letter signifying the midpoint between H & B grades. However "hardness" and "blackness" is a lot easier to remember.
Now that we have that out of the way, how can using your pencil gradations help you as an artist?
We all have our favourite pencils; traditionally I use Staedler Pencils, occasionally I use some very special Hardmuth pencils that were given to me by a friend.
Whenever I start sketching i always use my H pencils. Usually 2-3h. One I have the initial drawing in place I move on to the B's for shading. What pencils you use all depend on the style, feel and effect of your drawing. The higher number B pencil you use the darker your drawing.
I have always noticed that some beginner artist are afraid of using their dark pencils. They're afraid that to much dark will ruin all their shading done with light pencils. An artist should not be afraid to use black if necessary. Using a range of pencils to imply your light and shadow will make your art more dynamic. If you are struggling to improve your drawings you need to practice with your dark pencils. There are plenty of exercises you can practice to improve. Arty factory.com has some excellent tutorials.
http://www.artyfactory.com/portraits/pencil-portraits/pencil-shading-techniques.html


Whatever your level of expertise, practicing shading with different pencil gradients will benefit your technique.
BTW - http://eshop.koh-i-noor.eu - Check out their Online store they have some really amazing products.
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