For best results, choose a quite smooth paper - a fine, hot-pressed paper will allow you to create a very finely shaded surface. I've used office paper, so the texture is quite coarse. Try a cold-pressed watercolor or textured pastel paper if you'd like to experiment with grainy textures.
For this exercise, I've chosen a simple, soft 6B pencil, which gives the traditional grainy shaded look. If you prefer a finer, more realistic surface, use hard pencils which will give you more control over the tone, and will fill the grain of the paper more evenly.
A strong, directional light from a single lamp or window helps make the highlights and shadows clear. Try to adjust the light in your room, draw the curtains if need be, and change the distance from the window or lamp, until you get a good balance of highlight and shadow. A white egg would be best, but I only have a brown one, so that's what I'll draw!
Another great first subject for practicing sketching and shading is a piece of fruit. Take a look at this easy first drawing lesson featuring a simple pear.