Most of the wonder markers rely on molecules called Leuco Dyes. These dyes are very similar to a pH strip. If you haven't seen a pH strip before, it is a piece of paper with a dye in it. By putting the strip into solutions of different pH's, the strip turns different colors.

The way that I imagine the markers work is that they have different pH sensitive dyes that are clear at their pH of storage - maybe its neutral. I imagine that the special paper is either acidic or basic, which will cause a change on the dye molecule, causing color to appear, just like with the pH strip.

Those markers aren't just for small children! They're still fun!