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.
Quality Matters. Not all colored pencils are the same. Cheap colored pencils tend to have harder wax leads and less pigment which mean they produce less vibrant colors and have a tendency to leave some white spaces uncovered in the grain of the paper. Because the lead is hard, cheaper pencil leads often have a tendency break and if the lead breaks throughout the length of the pencil you can be left with something that is unusable.