There's a very long process that precedes cel 
painting.  There are a number of drawings that 
are made leading up to the final pencil made for 
a cel.  The pencils that are used to make the 
cels are called dougas.  They are used to make 
the trace lines on the acetate for the cels.  
Once the dougas are completed they're fed into a 
xerox machine of sorts and then the trace lines 
are xeroxed onto the acetate.  Then the cel is 
painted.

This process was developed in the 1950's, prior 
to that the lines were painted on by hand in a 
process called hand inking. This is still done 
today on some cels, generally Hanken cels are the 
only cels that are usually done this way since 
it's more costly than xeroxing.

As for why some cels come with pencils and others 
don't there are many reasons.  Some production 
companies don't release the pencils at all (AIC 
is notorious for this), over time it's easy for 
the cel and pencils to get seperated, etc.  There 
are many collectors out there too that collect 
pencil sketches of all sorts, and many collectors 
that collect only pencil drawings.  These people 
will often times buy a cel just to get the 
pencils, and then sell the cel; or they'll buy 
the sketch seperate from the cel.  

Brian