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The Microsoft Surface Pen for the Surface Pro 4 is much improved compared to its predecessors by increasing its sensitivity, improving its look and feel, and adding a magnetic surface allowing it to conveniently stick to your Surface.    The Surface Pen also comes with a Pen Tip Kit which make it unique compared to the Apple Pencil which doesn't allow you to change the tip.

The tips that come with the Pen Tip Kit mimic standards typically found on real pencils.  The standard tip that comes with the Surface Pen for Surface Pro 4 is HB, which is the standard hardness found in most pencils and provides you medium hardness.  The Pen Tip Kit also comes with 2H, H, and B.  

2H and H provide more hardness compared to HB allowing you more exact but lighter drawing lines.  This is great for engineers that need more precision in drawing.  If you are more in an artistic mood and want a softer tip giving you darker lines, choose B.

I purchased the Pen Tip Kit together with the Surface Pro 4 at the Microsoft Store in Westfield Valley Fair Mall in Santa Clara, California.  

The Pen Tip Kit is essentially a holder for your tips on one end and a tip removing tool on the other.

To remove the tip from your Surface Pen, use the jaws of the Pen Tip Kit like tweezers to grip the tip attached to the Surface Pen.  The Pen Tip Kit doesn't have much friction for gripping so you'll need to pinch hard to get a firm hold on the tip.  

You'll probably need at least a couple hard yanks to try and remove the tip from the Surface Pen.

Once the tip is removed, you can choose another tip to pull out of the Pen Tip Kit and insert it with your fingers all the way into the Surface Pen until it goes no further.

To keep the tips from being confused with each other, the bottom the tip has a color (red, yellow, blue) which matches the colors of 2H, H, and B printed on the Pen Tip Kit.  The HB tip, the same one that comes with the Surface Pen, is the only one with no color.

HB actually feels the most natural to use for most people, but if you are a professional that needs different levels of hardness and precision, only Microsoft Surface Pro 4 provides this with the Pen Tip Kit.