Wow, for almost every modeler, there's a different answer to that.
Depending on what you'd like the end result to look like, and what type of road you're trying to emulate, there's a technique for getting that "look". I have used contact paper roads from Noch with some success that make a pretty convincing asphalt roadway. I've used fine grit black and grey sandpaper too - which I think gives a different surface to other techniques and weathers really nicely with chalks. For me, my best results were with walk joint compound, sanded smooth and blackened with india ink. It's not too hard to use, cheap, and you can always break it off and vacuum it up if you don't like the results. Plus, when it cracks (and it will), the cracks look pretty realistic - just like older and well used asphalt roads around any city. You can also use several road making systems from Woodland Scenics that have everything you need to build a road in one package (but I've never used it so I don't have first hand knowledge on the product's performance). You may want to seek out a local hobby store and try to find some of the "How-To" books from Model Railroad Magazine. They have several that explain and give step by step instructions on how to build roads and sidelwalks. That will give you some good reference pictures, tricks, and you'll feel pretty confident that you'll get a good end result.
Good luck!