Costco bundles it with a pen loop with at least the 4GB model. I ordered mine from Costso and there was a pen loop in a box. I didn't order a pen loop separately.
I don't remember if it was in the box with the pen or if it was separate. I didn't recognize it as a pen loop at first. It was just in a plastic wrapper.
It may have been mixed in with some of the papers and manuals.
The S3, type cover, and pen were all in their retail packaging, inside a Surface Pro shipping box. The outside of the pen packaging indicates it includes a black loop. The loop was found in a clear plastic bag under the pen tray.
Yearn... no pen loop. No matter. I ordered two from MS, because a saw someone using two to make a longer sleeve to hold the pen. @brocharlieb , hope you're loving it!
Guess different people feel more comfortable doing one thing over the other depending on their habits. Since I don't use the pen on my SP3 very often, I leave it in the pen loop on the SP3 - works better in that use scenario than leaving it elsewhere.