I have used successfully made boards with plain printer paper and magazine/catalog paper. Value of your time has to be very low for this to be worth it, though. The only thing I've read about which I never got to work was photo paper. Was a guy (in Denmark) who swore up and down about a specific brand and sku of photo paper. I never figured out the special sauce to make that work, but perhaps the formula was different in America or maybe it had changed.
If you make more than $1.00 an hour at your day job, you are probably better off buying transfer paper. From what is easily available in the US, it seems like there's 3 choices.
1. PnP Blue: this is the most sophisticated stuff. It is a lamination of 2 different plastic sheets. The side you print on is rough-textured to help prevent the toner from squishing/smearing. Where the toner sticks, this entire top sheet tears away from the backing sheet, covering the toner transfer with a layer of thin plastic. It's around a dollar a sheet in 10 packs. But you can buy 100 packs for like 65 dollars, if you use a lot of it.
2. Pulsar: this is the most expensive in the US. It's a little more than a dollar per sheet in 10 packs, purchased conveniently from Mouser or Digikey. It's a very thick and stiff paper, almost a thin cardstock, coated on one side with dextrin. Print quality doesn't appear to be affected by the dextrin, and after you transfer, you dunk the board in water for 20 seconds; the paper peels away leaving just the toner. According to the manufacturer, it is sensitive to humidity and can go bad after so long. I have never experienced this, but I don't get high humidity. Since there is no retail bulk discount, there's no major incentive to stock up on it, anyway.
3. Yellow paper off eBay. I'm 99% sure this is printer label backing paper, sold on eBay as toner transfer paper. It is dirty cheap. But the 100 pack I bought came all rolled up in a tube. So the paper is very thin and curly and I dunno how other people use it. I imagine they have a system to uncurling it, or maybe even tape it to regular paper... but that would defeat the cheapness. It would be nice if you could just put the 100 sheets in your printer feed tray. Print, cut out what you need, and toss the other 90% blank paper into the bin. But at least with my printer I don't see that working.
There are pros and cons, depending how you do the transfer. I've used over 100 sheets of PnP Blue. That was a lot of boards; results are great, but I experienced a significant amount of failures/redo's either in transfer or after the etch. I'm not suggesting that someone else can't get it to work 100%. But for me, I had failures probably in the lower double digits % for relatively small SS boards; the double-sided boards is what really made this bad for me. The method I have settled on for the last many years is too hot for PnP; it melts. I use Pulsar. Now, if I need one board, I make one board... not 2-4, just in case. I haven't failed/redone a board ever since, probably 4 years, now, and a 10 pack of pulsar per year. I bet I could get similar results with the yellow backing paper, but for me it's not worth the hassle for the cost savings. (TBH, that 100 sheets of yellow paper I got in the snail mail, I looked at it. Then it went straight into the garbage can.
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So it the best paper depends. What your process, and why you're doing it. If you want to save money over ordering a board from China, we might be in the wrong century for that.