If you're going to be primarily working in graphite, you probably want to use something specifically labeled as "drawing paper" because it is thicker and more durable than newsprint (super thin, off-white, good for practice sketches) and can handle repeat erasures without tearing. There is some coarse texture or "tooth" on the surface to bite off particles from your pencil to create a visible mark but anything too wet (ink, permanent marker) will probably bleed through.
If you want to work completely in charcoal or chalk pastels, you want to choose a paper that is especially designed to handle the powdery nature of those materials. Charcoal paper is MUCH thinner than vellum bristol paper and has an obvious tooth you can feel as you manipulate the charcoal or pastels with your finger. One interesting thing too about charcoal paper is that the color of the paper itself has a dramatic effect on your final work. Instead of just coming in white, charcoal paper comes in various shades of grey, brown, and black and can alter the way your colored pastels appear. Plus it can be useful to already have a large around of ground toned for you when you begin so you only have to concentrate on laying down the highlights and shadows.
I still like to consider drawing with oil pastels "painting" - I dunno, I just do. You can use oil pastels on vellum bristol paper successfully but I just really like the effect I get when using them on watercolor paper.... perhaps because I tend to blend them so much with mineral spirits! Watercolor paper is marked as such and comes cold-pressed or hot-pressed with a varying amount of sizing.
"Sizing" is a solution added to the surface of paper to control absorbency. The more sizing, the less moisture will be absorbed into the paper and the crisper your color will appear. The less sizing, the more fuzzy or dull your color may appear (as it sinks into the surface) and it will be nearly IMPOSSIBLE to erase any pencil marks you may have made before beginning to paint.
Hot-pressed paper is smoother and are great for capturing fine details more clearly. Cold-pressed paper is rougher and has a lot of tooth to grab onto your pastels. It can also create different effect with your watercolor as some of the color will appear brighter as it stands out on the peaks of the texture and some will appear more dull as it sinks into the valleys of the paper. To make sure your artwork stands the test of time, you also want to make sure that the paper is labelled as acid-free and the closer you get to 100% cotton, the better!