The material. Some coloring books offer the ability for the child to simply run over the surface with the pens or crayons provided, and it will turn out to be the right color regardless. Some are more like paint books, and some have magic marker surfaces and come with markers that will not show up on any surface but the specially prepared book pages. Choose the book that best suits you and your child. If you are worried about markings on the walls, then dont select a pack of basic crayons, get something that uses special crayons. If you want your child to exercise their own creativity and not have to fit in the lines or color schemes planned, get basic pages. It is up to you.
I was picking out some coloring books for my friends children when she informed me that she would like to get a couple of books too. This is a 30 something year old woman. She then began picking out colored pencils as well with a gleam in her eye like a kid in a candy store. She couldnt wait to get home and start coloring in her new books. She picked Barbie Doll, princess type books and methodically chose what colors she would use for the first picture.