The material. Some coloring books offer the ability for the child to simply run over the surface with the pens or crayons provided, and it will turn out to be the right color regardless. Some are more like paint books, and some have magic marker surfaces and come with markers that will not show up on any surface but the specially prepared book pages. Choose the book that best suits you and your child. If you are worried about markings on the walls, then dont select a pack of basic crayons, get something that uses special crayons. If you want your child to exercise their own creativity and not have to fit in the lines or color schemes planned, get basic pages. It is up to you.
One great family bonding that I can suggest for a family who has a small child with them is coloring books. The majority of the children love to paint and color pictures that are create to serve with that purpose. As parents, you can give them a hand in accomplishing this task. Why not give them a portion of your valuable time so that you wont give them reason to be revolted with you for acting the part of being their parents? I, myself adore coloring books. I can envision how my mother and I will try to color pages. She would teach me how to color pictures and what hue should I apply to a certain part of the image. Green for the leaves and red for the petals.... I can still remember the exact picture that we always trace and color.