There are 3 ways to shade I can think of atm. (Note that I'm no pro at shading so please correct me if I'm wrong. But this is how I do it).
The first way is mathias' way. Hatch the parts where shadows need to be. At places where lighter shadows are the hatches are far away from eachother, at darker shadows the hatches get closer. Another option is making single hatches at lighter parts and crossed hatched at darker parts.
This isn't a very precise way and you get a bit of scetche comic style. If you want a bit more detailed and real looking the other 2 options are better. What I mostly do (cause I'm too lazy for the third :P) is have a soft B pencil and go shade ^^. You keep the pencil in your hand without pressing it on the paper. Only the weight of the pencil is coming in (GO G-FORCE!!). Then you very softly start shading, you keep doing is till you got a smooth slightly grey surface (doesn't have to be super smooth where the darker shadows come, just the lighter parts need to be) Then you go pick up that pencil again and press a little so you get darker colour, you just don't shade the last part of the shadow. You continue doing this by moving up a bit by bit, and pressing harder and harder on the pencil. This way you should get a nice smooth surface from light to darker.
BUT... this isn't perfect either. Pencils leave imperfectness with slightly darkerr lines that stand out. So thats where way 3 helps us out. You use the same procedure as way 2. But now you get a box of tissues (make sure your mother is in the room, otherwise you might get challenged to do some private stuff

) and go blend those shadows. By going over them with the tissue you make them more blurry and more smooth. Don't go wipe the tissue in the wrong direction cause when you wipe from dark to lighter you will make the light parts darker and that forces you to expand your shadows which mide be unrealistic. You keep blending untill your surface gets smoother, and keep adding pencil where nececary. Don't expect to get this perfect the first time, you will get some pencil along your immage from your hand and stuff, just try to errase it. Practice makes art. Also instead of tissue you can use one of those grey errasers which you can knead (don't know the word for that :P)
Hope I helped you out. Maybe some people can complete me, or correct me when I'm wrong. Good luck, will take some practice.
If you wonder what marterial to use, try some deviant art works, some tell what stuff they used. Graphite is one of the more popular ones.
Some links for you
My most favorite traditional artist : http://shimoda7.deviantart.com/
http://genni.deviantart.com/art/Hold...ether-12217672
http://shimoda7.deviantart.com/art/P...y-own-33234157
Don't let these things scare you but inspire you!
Some you see on deviant could be edited afterwards like blended on the computer or whatever. Also in real on paper they look different. So don't expect to get exactly the same.