An article from a Washington DC TV station discussing this just came over my Facebook newsfeed this morning! Adult coloring books are becoming very popular, and adults are finding coloring to be very calming. Unfortunately, the article just talked about the benefits of coloring, and did not discuss what pencils/crayons to use.
I also agree with getting good quality pencils. I bought some at Michaels. I checked at an art supply store, and they carried the same brand as Michaels, so I went to Michaels with a coupon.