You can write in any Bible, but there are a few Bible features that are must-haves for me. I like to have a wide margin Bible with plenty of room to write notes. Journal Bibles work great for this.
I prefer a single column Bible (i.e. one column of text on each page) rather than two (double column). The biggest problem with marking in a double column Bible is writing notes in the outside margin for the a verse on the inside column. With single column, your notes are next to the verse they're about.
Scripture journals have quickly become a favorite tool with my fellow ETW highlighters. They are inexpensive and have plenty of room for notes. The best part is that they serve as risk-free first drafts before moving your notes into your permanent Bible.
Here are some examples of ESV Scripture journal options.
There is even a digital version so you can write on your iPad or print out pages for multiple drafts. You can find the ESV digital version here.
These are the only highlighters that touch my Bible.
You can find them here.
I only write in my Bible with the Extra Fine (.05) Pilot G2. I tried the Pigma Micron 005, especially for thin Bible paper, but I just don't love it.
There are a few extras I like to keep around. White out tape, a straight edge for clean underlines, a pencil for things that I'm not sure will be permanent, some small sticky notes for longer and less permanent notes.
Finally, you'll need a way to keep all this stuff together. I tried a couple different bags that irritated me, so I went on a search for the perfect case, which you can find here. I got a used one for $17. I don’t want to be too extra, but I picked a color that matches my Bible.