First here's what I like to sketch/draw/write with in my books:
Fuller Craft Museum. It's made with a special combination of graphite and smudge resistant compounds by artist Agelio Batle and it is the coolest thing to hold in your hand and sketch with.
left to right draw with: watercolor brush, ink pen, ink pen, watercolor crayon
As you can see above different pens can give you different results when drawing the same image so it's good to experiment with all different types of drawing tools to find the ones that you like best.
I prefer to work in smaller coiled bound notebooks that I either buy or make myself:
Sometimes, before I bind them I'll spend a day adding color to the pages with paint and this can really help with the "blank white page freeze" that a lot of us experience!
I have a bind-it-all machine that I use to bind my books but it's easy to make your own hand coiled wire bound books and I've written a tutorial if you're interested in create a few to work in for yourself. You'll find it here at the top of the page.
Get all the details on the Sketchbook Challenge here.