I'm almost done with a paper-pieced queen-size quilt and the paper I've used is by June Taylor (purchased from Joann's). I think the thickness of the paper will affect how often you'll need to change your needle. It may not bother some people.
The June Taylor paper held extremely well while I worked with it, and it tore off easily when the time came. Just remember to sew a little past your end-points, and to lower the stitch length.
It's easy, and I can't believe I hadn't tried it before. Now that I have, I'm thinking of working on a Mariner's Compass, next.