The quick brown fox jumps over the lazy dog.
This has the benefit of being a coherent, easy to remember sentence. However, it is not a "perfect pangram" since it contains several letters more than once (including three e's and a whopping four o's).
To create a perfect pangram, you must use every letter once and only once. This is extremely difficult, since the alphabet only gives you six vowels to work with. You often end up with an ungrammatical series of random, obscure words:
Cwm fjord bank glyphs vext quiz.
It gets a little better if you allow abbreviations, punctuation and/or proper names:
NBC glad. Why? Fox TV jerks quiz PM.
A few years ago, I was collecting fonts for some brochure work I was doing, and I wanted to print a page that showed all of them in action. I wanted to see an actual sentence rather than just the alphabet, but I didn't have enough space on the page to show the "quick brown fox" sentence for every font.
Today, you can Google or Wikipedia "pangram" and get a long list to choose from, but back then I had to come up with something on the spot. So here is what I used:
Zeb's fjord myth: plucking wax (q.v.)
(By the way, the abbreviation "q.v." stands for quod vide, which literally means "which see" in Latin, and indicates that the preceding word or phrase should also be looked up.)
OK, so it's not Shakespeare, but for what it is, I'm proud of it.
Finally, this is not mine, but I like it. It's a German pangram that uses every letter, including the umlaut vowels and the "sharp s" (ß) character:
Zwölf Boxkämpfer jagen Viktor quer über den großen Sylter Deich.
Translation: "Twelve boxers drive Viktor over the great Sylt Dike."
Hmmm. Somehow I think that lazy dog got off easy!