Stonehenge
This is an GREAT paper for colored pencils! This is a "must use" for Prismacolor pencils.

Marvy Marker Paper
For Col-erase I sometimes use Marvy Marker Paper, it is very thin and you can blend color smoothly over it.

Bristol Board
For the most part I prefer Stonehenge over this, but there are a few cases where I have used it (for black and white pencil drawings where I have layered Col-erase over them for example). I definitely prefer the smoother Bristol Boards, but it depends on the picture.

Pastel Paper and colored papers
I often use colored pencils with pastel paper. This is because pastel paper usually comes in pads with lots of different colored sheets so you can try some interesting things with it. I also have tried some colored pencil on black paper but I am not really an expert with them yet.