some reason the president does, i bet: so that each pen can be presented to someone instrumental in the legislation as a pen used to sign that legislation...
i bet you a dollar to a bucket of pee they're extremely nice gold heavy duty pens with the presidential seal on them and a certificate of authenticity to boot....probably cost a couple hundred each check it out http://cgi.ebay.com/President-Lyndon-Johnson-HR-485-Bill-Signing-Pen-w-COA_W0QQitemZ110392034351
Generally the Governor or President use so many pens so they can give one to the sponsors of each bill.