Basically green lasers are the most visible. Our peak color during the day is 555 nm, and most common pointers get pretty close at 532 nm.
Blu-ray lasers (violet) are probably the best for burning as they are more readily absorbed by most and all materials. Even paper burns easily with 405 nm. The highest power diode costs anywhere from $45 to $55 depending on your supplier.
Red lasers are the cheapest ones, (650 nm) and give you the most "bang" for your buck if you're looking to just, burn stuff. You can get the diode for only $10.
Orange lasers (635 nm) are still pretty expensive and are good for burning up close... Due to the wavelength change they appear much brighter than 650 nm. They cost around $40-$50...
Blue lasers are more expensive and get up into the Class IV range of lasers, where even just looking at the diffused dot is dangerous to sight... Safety goggles are a MUST when using these, especially when burning stuff. Costs anywhere from $30 to $55.
Greenies are the most expensive laser in terms of burning ability... Most cheaper ones go up to 100 - 200 mW and will run you a good $100-200 dollars. You can't buy just the diode for these, as they use a complicated system called DPSS (diode pumped solid state) which changes an incoming IR laser (808 nm) to 532 nm.
Regardless of which laser you pick, you NEED to get safety glasses if you plan on burning stuff. They are always necessary when burning. ALWAYS.