As it happens, my good friend Constantine's father is the inventor and
patent holder of the compounds that make Color Wonder work. He worked
closed with Binney & Smith (the folks who make Crayola products) to
develop the Color Wonder line. I dropped him an e-mail last night to
see if he could get the information for you.
The actual compounds themselves are kept secret, but Mr. G. was able
to provide a general explanation:
"This is caused by the interaction between two complementary
phenol-formaldahyde compounds, similar to the technology that is used on
carbonless copy paper (those two-part receipts that are used for credit card
sales). The actual ingredients are a proprietary secret, but the general
idea is that the paper is coated with one chemical, and the marker tip
contains the other. When they mix they change color (kinda like
phenolphthalien, a solution of which is normally clear but which turns color
in the presence of a base or acid). The chemical in the marker tip is
nonreactive with most other surfaces, which is why you can't use the markers
to draw on walls or clothing (or people). The potential still exists for
the markers to draw in color, but the chemical activator isn't present to
make it happen."
Hope that helps!
Source: Product's inventor.