Professional level pencils like Derwent or Prismacolor offer the best quality and typically are the most expensive pencils to buy. The wax in these pencils is softer and the colors are a higher pigment providing brighter colors. The soft application allows blending and shading.
I think the biggest problem people have when drawing with crayons is that they regress to being five years old again. They hold the crayon like they're coloring again, instead of applying it like a fine art medium. Another problem is that many people want to make it perform like colored pencils. While similar in application, they are quite different. You should not use crayons and expect them to behave like colored pencils. You'll be setting yourself up for disappointment.