I use mainly Prismacolor brand colored pencils. I use them partially because of there availability locally, and also their wide range of colors.

I try to use paper that is made with rag instead of wood pulp, because it is acid free and will be archival, and will not deteriorate with time. It's important for me to use a fairly smooth-textured paper to get the results I want. One of my favorite papers is Rising Stonehenge, which is a paper made for printmaking and comes in a few different colors. The paper I use most often is Canson Mi-Tientes, and I use mainly black, pearl, and white. Some other good papers are Artagain recycled paper, Canson pastel paper, and Canson Dessin.

I like the control that colored pencil gives me, since I am much more comfortable with a pencil than a brush. Using colored pencils also give me many color choices, and I can achieve a wide variety of effects with pencils. Colored pencils are also a very portable medium, so I can take them with me, and they are also a very non-messy medium, so I can even do them at my kitchen table.

Since they can be sharpened to a very fine, sharp point, which is how I like to work with them, you can get a lot of control, which is great for detail work. They are available in many colors and being semi-transparent more colors can be created by layering colors. The transparency of the pencil also gives the painting a luminous quality. You don't have to wait for layers to dry, and you can stop and start your painting session at any time, regardless of what point you are at. Colored pencils are very portable, and can easily be taken to the park, etc.

Since I use a light touch, the only con for me is that I can sometimes have a hard time getting as intense color or as dark of values as I want. 

You need colored pencils, of which I very highly recommend artist grade ones which cost more, but are definitely worth it. Some good brands of pencil to start out with are Prismacolor, Derwent, Lyra, and many others. Most of these brands sell small sets of colored pencils, which are great for beginners. You also need a good sharpener, my favorite is Panasonic, which comes in battery or electric, a kneaded eraser, graphite or drawing pencil, and smooth textured drawing paper. A paper towel can be also be very useful to keep your pencils clean. A good instructional book may also be very helpful, and there are many books like this easily found at craft and art supply stores.