'With a pen' is most common. You can also say 'write in pen' - which is analogous to 'write in ink'. They have a slightly different meaning - the former stresses exactly what you are writing with, and the latter stresses the fact that you're writing in pen, rather than pencil/crayon/...

You write WITH a pen. However, you can write either WITH or IN ink. And even though you always write WITH your hand, we also sometimes say that something is "written IN his own hand," which actually means that the text is in his handwriting (the characteristic physical patterns and style of a person's writing)

To write WITH a pen. You are using the pen to write.