It depends! Paper is unique, the choices are literally endless, cold press vs. hot pressed, cotton vs. Japanese rice papers, I could go on.
But generally speaking Texture is the most important aspect of choosing paper. the tooth of the paper is more useful in other mediums than others. If I was drawing in charcoal, I might opt for a fine tooth like that on a cotton rag paper that can hold the loose pigment better than a smooth paper like bristol.
How you work and how you want the final product to look will shape what paper you choose, especially if you are looking to buy high quality sheets like BFK or Stonehenge. To start out I would recommend the pads of paper from Strathmore or Canson or other brands that are specifically marketed for a particular medium. Figure out what you like to draw on and dont like to draw on, then move to the better paper.