I have experience with laser toner etching from my electronics hobby, so I thought I'd chime in.
Regular paper works well, as does photo paper and even pages removed from a glossy magazine.
The best method with almost guaranteed results is to use a special kind of transfer film called Press n Peel Blue (PnP) made by Techniks. This can be found online everywhere and maybe at Radio Shack. Look for hobby stores in your area.
It's a bit pricey when compared to glossy paper, but it comes off really easily so you don't lose toner while removing the film.
Have a look at the tutorials here
Hope this helps!