I think I've tried them all except the paper. I've found the chalk pencils to work best with stencils. Sometimes I have to photocopy the image to the size I want and then I use a double-bladed exacto (from The Stencil Company) to cut the lines (sometimes I just use the paper and sometimes cardboard).
I loved the Clover pens but they sure do disappear! The blue Dritz pens work but don't last long and that gets expensive. I like the Fons & Porter or Sewline lots of colors) or Bohn mechanical chalk pencils. I can change the chalk to the color I need (for one quilt I used 3 different colors).
Just read about someone using freezer paper instead of the Golden Threads paper.