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.
This art therapy trend has yet to hit America, but because publishers have found it immensely profitable, it's probably only a matter of time before you find yourself shopping for a new box of crayons. And hey, why not? Coloring is a fun and joyful activity that is a much easier way to reduce stress than, say, dragging yourself to the gym. It just might get awkward if your friends find your completely finished Benedict Cumberbatch coloring book.