I've tried a bunch of different alternatives, and in terms of ink-quality, Copics and Promarkers are pretty much comparable. Copic Ciao's got nicer brush-tips, which is great if that works with your colouring style. I've found Promarkers are better for colouring larger swaths of paper without it ending up blotchy, but that may depend on your own technique.
For cheap markers, I've got a 30-set of Touch-markers, which are much, much cheaper than Copics and Promarkers, and are still decent quality. I'd say maybe start out with a cheaper set, for practise, and gradually replace them with Copics and/or Promarkers?
And as someone else said, don't go all out on heavy bristol paper, as that sucks your markers dry in a heartbeat - go for lighter paper (I do most of my marker-colouring on regular printer paper, but you might want something a bit sturdier if you're drawing comics).
My real tip for cheap, nice-looking shading, though? Buy yourself decent-quality watercolour paper and a set of watercolours. They last a long time, AND you can do similar styles of colouring as markers. You can even mix watercolours and markers, with a bit of experimenting, which is really nice.