I can't speak for variously-coloured pencils, but I've had a lot of success with a grid-ruled moleskine (I usually went for hardcover, but after accidentally ordering a soft cover, I'm warming up to it) and a Rotring 0.5mm mechanical pencil with Pentel 2H leads.

For colours, I tend to use the Bic 4-in-one coloured pen (the one with the blue bottom and white top), though I don't bring that out often.