The single most important consideration- at least for me - when selecting surfaces for pastels, is tooth and texture. Tooth refers to the tiny bumps and valleys that you can feel and see. For example, a smooth paper has little to no tooth. This is vital because unlike other media pastel particles need tooth and texture to attached to or they will fall right off. Tooth is also needed to grip the pigment from the. Without it, you'll find it hard to apply a lot of color.
Paper is generally the best support for pastels, but not one that I choose to use. As long as a surface has sufficient tooth and can survive some rubbing and blending, you will be successful. So once these requirements have been met you can have quite a bit of fun experimenting.
The degree of tooth can also affect certain types of techniques, such as layering, detail work, and blending. The amount of tooth determines how many layers of pastel can be applied. If the tooth is shallow it may be filled by a single layer of pastel and when you try to add another layer on top, there won't be any tooth left for it to grip.
When deciding on the degree of tooth or texture you want for your surface, you should also think about how detailed or textured your finished artwork will be. If you plan on doing precise details with hard lines and edges, you might consider a surface with less tooth. I realize that I contradict this rule but the explanation is simple. I use India and Henna throughout the building of a piece. And yes… I prefer to refer to what I do to “building” rather than “creating”.
If you know you're going to be blending colors, most artist will tell you that from their experiences you should avoid very rough textures because they will inhibit blending. I do not find this to be true. In fact, in my experience it is merely the softness and quality of your pastels that dictates. Since I make my own, I have complete control.
When it comes to finding the right texture or degree of tooth for your style, just remember to find the right balance. Tooth for the pastels to grip but not so rough that you find you're restricted. And then there is always a way to add texture to paper (or any support) you choose by priming it with gesso mixed with sand, or using something like Golden Pastel Ground. This is useful for artists who like to create their own personal textures. If you're a beginner, don't worry about this. There are plenty of textured products available commercially.
Now I use canvas. Canvas has the required texture to hold pastels so it's a worthy surface, especially if you want to paint larger pieces. You can buy pre-stretched, canvas boards, canvas rolls, or canvas pads. These products are much more expensive than paper, especially if you choose top quality linen. Or…you can do what I do and recycle. My canvas comes from the discard at the local Office Depot.
Be cautious when buying pre-primed canvas because the tooth of the weave may be reduced by the gesso. This results in a smooth surface not particularly suited to pastels.