Looking around online, I'd guess you were using rice paper. From what I've seen online... usually goes for between $5-$15 for 100 sheets (USD).
They say that rice paper is very porous, which allows it to absorb a lot of the ink and reduces running. Seeing as it's made of rice, I'd imagine that it would feel pretty waxy to the touch :P .
Looks like brushes are generally of one of three varieties: soft hair, stiff hair, and combinations. They're all supposed to have their advantages/disadvantages, but it sounds like the combos are the best bet for beginners.
Japanese calligraphy supplies give you boundless freedom to create.