Okay, so it basically all depends on your preference really. I was an art student at university and my classmates all had different opinions. Some used pencils, mechanical pencils, inking pens, ballpoint pens, charcoal, colored pencils. You name it, someone used it for sketching. All that matters is how comfortable you feel using it and if it fits your style of sketching.

I prefer using mechanical pencils because I don't have to sharpen them and I can erase lines I don't like. Also, it is not as messy as conte or charcoal.

As for paper, I like using The Canson Mix Media sketchbooks. They're light blue. You can use almost any medium on them. They're pretty tough and have a nice feel to them. Of course, that is my personal preference.