For beginners I would suggest either the Staedtler or Faber Castell brand of pencils. These produce significantly better results than bargain bin pencils, provide good colors and allow you to try some simple shading and blending techniques. With practice the best coloring results can even be achieved with the most modest tools!
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.