If you have ever been in to a shop and purchased an item then you will have received a receipt, this is a special roll of paper a certain size designed specifically for small till printers and chip & pin machines.
  If you are paying by card, you are required to place your card into a small handheld device; from here you enter your pin and agree to pay the price of your purchase.
Once this has been accepted the information is sent to a small printer and your receipt is printed.
Inside that printer is a chip and pin roll, this is usually thermal paper and it is rolled very tightly from a great length.
The paper used is special heat sensitive paper and it works by heated pins pushing against the roll activating its heat sensitive qualities.
Thermal paper is the main choice for chip and pin machines, however some devices use 'Impact Action Till Rolls' or '2 Roll Chip and Pin Paper'.
There are many different types of chip and pin rolls available, they usually come in 'Grades' and vary in price, the grade of the paper determines the quality of the paper with Grade A being of the highest quality.
Of course the printers can take any grade of paper, but it is beneficial to use the highest grade if possible.
Lower grade rolls release dust when used, the dust in turn builds up over time and causes jams in the printer in some cases rendering it completely useless.