I normally just use plain old copy paper or ink jet paper... nothing fancy. (I can't afford fancy stuff x.x).

Both the pictures were drawn in pencil, then I just used Adobe to give it the inked/colored pencil look respectively. As for the shading, well... I really don't know how I gave it that look. ; I just kinda shade. I actually think the dot effect came into play with my P.O.S. scanner.