Colored pencils consist of binder, filler, wax and pigment. The more wax a pencil contains, the more smoothly it glides across the paper. Water-soluble colored pencils allow for watercolor-like effects. You can even find color sticks, which are colored pencils without the wood casing.
Colored Pencil Choices
Top: Prismacolor Verithin (hard)
Bottom, left to right: Derwent Watercolor (water-soluble), Derwent Aquatone (water-soluble, woodless), Prismacolor Premier (soft; somewhat oily feel), Prismacolor Watercolor (water-soluble)