Sketch paper is meant for large, quick sketches in dry media, without much detail. They aren't usually meant to be permanent. So sketch paper is usually wood-pulp based, thin and cheap, and sold in large, thick pads. If you want your sketches to last, choose acid-free sketch paper, and if you prefer thicker paper, choose a heavier weight, at least 125gsm/80lb. Check the dimensions to be sure you get the right size for your work.
For rough practice sketches, pretty much any paper will do. Office printer paper is cheap and smooth and doesn't "bleed" if you like to sketch in pen. Bulk newsprint pads are functional, if not robust, and useful for large preparatory sketches. Canson Biggie Sketch or Strathmore 200 series are good, economical choices.
Expressive sketching calls for paper with a slightly rougher texture. Generic sketchbook paper has a fibrous texture that allows tiny specks of white to show through the shading and a toothy surface that will hold onto the softest of mediums. Try the 80lb Blick Drawing Pads or Canson Heavyweight Sketch.
For sketches with a little more detail, a better quality sketch paper will give you a finer surface to work on. Strathmore Windpower Sketch is a lightweight (almost transparent) paper with a fine smooth surface, while Windpower Drawing is a little heavier.
Paper Surface and Texture
The surface of sketch paper shouldn't detract from a sketch, but it often doesn't really add anything, either. If you want a stronger texture through your sketch, consider a medium-surface drawing paper such as Lana Dessin. The double sizing gives a firm drawing surface while the even grain gives sketches a distinctive look.
For sketches with a classic parallel-line texture running through them, try a traditional Laid paper, such as Canson Ingres or Hahnemühle Ingres.