Often on the forum boards there are discussions of what supplies work best, so I thought I'd post some of the things I wouldn't do without for soft pastel work, as well as the runner-ups.
I'll list favorites by ranking.
Paper:
1. La Carte. This is a wonderful and expensive paper made by Sennelier. Its surface is made of finely ground vegetable flakes. This is an absolute wonder to work with, but never get this wet. A single drop can dissolve the surface in an instant! However, this will hold many many layers and can create an ultra-smooth blended surface when the painting is finished.
2. Wallis. A true sanded paper, this has a fine sand applied to the surface of the paper. This paper can take a beating, but because of the type of surface grain, this can be murder on your fingers if you do finger blending techniques.
3. Colourfix. Made by ArtSpectrum, this paper has a primer applied that contains the pumice needed to hold the pastel. While this paper can also take a beating, I find that the grain is too rough for my tastes. However, this paper can be sanded down with a rough-sided dish sponge (ya know, the fancy ones that have a texture on one side and the regular sponge side also), and I usually do that before working with colorfix. ArtSpectrum also sells the pumice primer, which can be applied to any surface. I have not tried this, but it sounds like a handy thing to be able to do.
4. Canson Mi-Teintes. I really don't use Canson, as I much prefer the sanded papers, although I know many pastel artists who swear by it.
Soft Pastel Sticks:
Most artists keep two kinds of pastels around - the cheaper workhorses which are used for the majority of the underlayer, and the more expensive ultra-soft pastels. The workhorses are usually a medium texture, while the others can be a very soft, powder-like texture.
The pastels I use most often as workhorses are the Rembrandts, because they are comparatively cheap and they still produce a decent color.
I have two favorites of the more expensive kind - Unison and Terry Ludwig. Unisons have a much richer color density than Rembrandt, so I use these for some of the final touches of color.
Ludwig's dark purple has to be the most decadent pastel out there - the color density on this is wonderful. However, I use this sparingly - a little goes a long way!
I also use pastel pencils for the detail work - I prefer CarbOthellos for this as they are smooth and can be matched pretty well with the colors of the sticks.