I'd like to tell a little about the paper I use for quilling.
Special quilling paper is the best option, of course. It can be found in a huge variety of colors, thickness, widths and quality. This paper is pre-cut, the only thing you have to do is to lay it in front of you and let your creative side out. But... The problem with it is that you can buy quilling paper only in countries where quilling is popular. What do you think about this selection, for example: Quilling.com (Paper)?
Here in Israel the task of buying quilling paper isn't that easy, so I had to find another solution. I started with colored paper I found in the children's section of IKEA. The selection of colors is very limited, but it's pretty thick and good enough to begin with. I also tried to paint inkjet/laser paper with watercolors, giving it enough paint to make the edges colored, too. Most of my old works are made using painted paper. This way you can get any color you want, but a glue dissolves the paint and you finish up having not nice stains on your design. You have to use glue very gently, but sometimes this doesn't help, either. Moreover, the edges of paper strips remain a bit whitish. Now I use colored inkjet, fax or laser paper from a stationery shop: it's too thin, but I got used to it. A high quality children's construction paper can be suitable for quilling: it's usually thick and the colors are vibrant.
I cut paper using a craft knife and a metal ruler, several sheets at a time, as I wrote in Quilling Basics. If you are cutting more than one sheet at a time, it's almost impossible to get to the very edge of the sheet (the ruler won't allow this), wide strips of 3-4 cm (approx. 1 1/2 inch) are left. I use those strips to make fringed flowers, like the blue ones here.
UPDATE: The office paper I use is IQ color, A4 mixed pack, 80 gsm. These are packs of multiple colors, here in Israel I buy them from Office Depot. I also use the colored paper from IKEA's MÅLA packs.