Wrapping paper (white side) or painter's paper. This is what I like to use to shoot at a BIG sheet of paper, say 36" x 36" or so. Otherwise, you will not be able to see what the majority of your pattern is doing. You want to be able to see 90%+ of your pellets on paper, so you can adequately assess what your entire pattern is doing.
Honestly, I like to see the full pattern, so I just use a 30 x 30 piece of paper taped over a large cardboard box. Sharpie a circle in the middle to aim at. Change the paper each time.
I built myself a solid target out of 4x4 that stands about 6' tall and 3' wide. It is in two pieces a base and the actual stand. So I can transport it. I bought a roll of builders drop paper that is 140' x 3 1/2' and I just staple a piece to the stand across the width. 140' costs about ten bucks and has lasted me for a long time.