Whilst most colored pencils are wax based, some brands use an oil based lead, like Faber Castell's Polychromos. These pencils are very soft to apply color so will cover every fibre of the paper with their bright hues, but they are also very expensive and should only be considered if you are looking to take your art to the highest level.
Mid_range pencils from brands like Staedtler or Faber Castel offer softer application, which allows you to get more color into the paper. This can produce a more vibrant color and reduces the chance of white flecks of paper showing through. Softer wax pencils are also better for shading and blending.