I've done a LOT of paper piecing. I've used copy paper, June Taylor paper-piecing paper, newsprint (clean), and vellum. I prefer vellum overall, but the stuff made specifically for paper piecing works great too. I like vellum because I can see the printed lines through it.
I've actually switched to the fold-and-sew technique of paper piecing, it works much better for me. No tearing, no pulling stitches.