As long as the paper is made for laser printers it's okay to use it. You just have to be careful what you buy.
Do a search for glossy laser paper and you'll get a lot of links. Xerox makes some, Hammermill makes some there are others I'm sure but those I know off the top of my head.
If you use glossy paper that isn't made for lasers then the coating that makes it glossy will stick to your rollers and destroy your printer. It only takes one sheet to do this so I wouldn't recommend it.
I opt to go a different route, instead of buying glossy paper I set my printer so that it prints a glossy finish on matte paper.
Another thing about glossy or coated papers - some only work with various machines that run under a certain temperature so again, be careful when you buy any coated papers that they are compatible with your machine.
Silk finish paper is a good mid way result between matt and gloss but you have to get your printer paper setting right for a good result. If you not sure what to do buy a few sheets of A4 and cut them in half then you can do a small test on a A5 size file and see what your printer can do and what your happy with. I find that my Epson Photo Stylus printer works well on most papers set to the right controls.
But then your looking for advise on Laser printing so I expect the results will be different.