Whew! When I started to do my online research for this section, I went to my personal favorite for mail order art supplies, Blick Art Materials. They have quite an inventory, and I've always gone to them when the local art stores (which are pretty sad in my area) didn't have the art supplies I needed.
I am pretty conservative with art supplies. I stick with the big brands a lot of the time, but I'm not afraid to venture out and try new brands and off-brands. But, I will mainly recommend the established brands here, because they are easy to find (call your local art store) and they are tried-and-true.
Pencils and Paper
400 series Strathmore paper - decent all-around paper, not too expensive.
Kimberly drawing pencils - I remember using these pencils when I first started drawing. They are just fine.
Colored pencils - There are many types of colored pencils. I usually use Prismacolors or Derwent.
Prismacolors - the brand of colored pencil I personally recommend. Get as large of a set as you can. (24 pencils would be the bare minimum.)
When choosing drawing paper, you will be assaulted with a multitude of choices. There is "drawing" paper, and then "sketching" paper. Usually (but not always) Drawing paper is a little higher in quality, and therefore more expensive.
Get either drawing or sketching paper, whatever you can afford. For practicing, I recommend sketching paper. Make sure the paper you buy can take the mediums you intend to use. For instance, if a paper says "pencil and charcoal," don't try to paint a watercolor on it. Some drawing papers will take ink and watercolors too - so check each type before you buy!
There are many good paper brands. I usually get Strathmore or Canson, but I have been known to get whatever I can find. (A lot of the drawings seen on this site were made on an ultra-cheap sketchpad I got at K-Mart!) Some of the cheaper brands won't take erasures well, so don't always go with the cheapest. Feel the paper a bit, and see if you think it has a good surface.
DON'T get newsprint. It's great for certain things, but is far too flimsy and thin for portrait drawing.
I recommend the B and 2B softness when buying graphite pencils, and maybe an HB. Don't get a 2H or anything harder than HB - your drawings will always be too washed out, as you will have to press down really hard to make a decent line. A 3B or softer can be great for making dark tones, but the graphite will smear if you aren't careful. (This is true for all pencils that are given softness/hardness ratings.)
As far as colored pencils go, Prismacolor and Derwent are the brands I use. Derwent is a little on the "hard" side (not quite as smooth and creamy as Prismacolor) so I only get Derwent when they have a unique color that Prismacolor doesn't. The "Verithin" brand is too hard for a colored pencil. It won't make a rich line. It has its uses, but I do not recommend Verithin for most portrait work.
You can use regular drawing paper for your colored pencil work, or Canson brand paper (textured paper, for pastel or charcoal). I usually use Canson, since it comes in many colors.
I recommend Kneaded Rubber eraser for pencil and colored pencil work. You can find many brands of Kneaded Rubber erasers, and as far as I know they are all pretty similar. Kneaded Rubber erasers (available at almost all art stores) are a little like "Silly Putty." You manipulate it with your hands to make different shapes. You can even make a little pointy tip to erase small and delicate parts of your drawing. Kneaded Rubber erasers are also less messy and easier on the paper than regular erasers. Regular rubber erasers are acceptable when you have no Kneaded Rubber eraser around.
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