Just like a carpenter might have a favorite hammer or a mechanic might have a favorite wrench or any other worker in a skilled trade, every artist might have a favorite tool that they can't do without or that they keep coming back to even after experimenting with other tools. For me its the Prismacolor Col-Erase Colored Pencils, they're great for initial sketching or under-drawings. I always carry some with my sketchbook.
I wondered what others work with, so I asked some of my favorite artists on Tumblr and Twitter what their favorite tool of the trade was. This is what they shared: