Often this is done with stop motion photography.
For digital ways of doing this, do a search for Write On or Signature tutorials
I know what you're talking about. Although AE certainly can be used to help with the effects there is a LOT more involved.
It requires planning the various "scenes" you want to see the hand draw.
Planning how these scenes might be layed out on a super-large canvas, to aid in moving from one scene to another.
Detailed storyboards are made up as a roadmap.
The artwork for each scene is created on a transparent background; Illustrator is good for this, probably with many layers for each scene to facilitate animation.
Then there's the shooting.......
A NO-FAIL method is to shoot the hand -- with a non-functioning marker -- elevated above a green background, drawing on a piece of glass. The hand is shot with a rough composite of the scene as a reference, implying a way to composite a video-out of the camera with the artwork, and the hand talent uses the monitor as a guide. There are also rehearsals to make sure the hand enters & exits the shot in the proper manner; you'll note the hand always leaves the scene bore a transition to a new position.
In AE, the hand footage gets sped up by a factor of 2 or 3, and as it passes, animated masks reveal the Illustrator artwork. It looks like the hand is drawing it.
That's it in a nutshell.......
As LaRonde says, it's all about plannig and rehearsing and then figuring out you were doing everything wrong.
You can search vimeo and youtube for "whiteboard animation" to find many dozens of simply terrible examples with a few gems in the mix. If you look at them carefully or ldownload and step through as single frames, you will see how carefully the better examples are planned and executed with camera moves that aniticpate instead of follow the action and heavy time compression where necessary. If you look REALLY carefully, you can sometimes see pencil sketches of the artwork the artist is following.
here's one of the better, and original , examples and you can see some of the artist's other work in the right column:
This will never probably look as good as doing it the old school way with stop motion, but you could have a motion graphics hand or several photos of a hand posed as it moves across a white solid in AE and use masks the grow out the text as the hand "writes" the words.
There's a great tool that is very affordable from Video Hive that speeds up this process if you want something like this:
You'll find the product here: Add Ons - JustDraw Simple Brush Tracker | VideoHive