Parchment paper is coated with silicone. It comes in rolls and is used mainly to line baking sheets. According to The Cook's Thesaurus, you can substitute other materials, depending on what you are cooking.
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Grease the Baking Sheet
The easiest way to substitute for parchment paper is to grease the baking sheet with shortening or cooking spray. Be aware that cookies tend to spread out during baking with this method.
Waxed paper is a good substitute, but it sticks to gooey food more readily. You can grease the waxed paper before baking for better results.
Silicone baking mats will also work well as substitutes for parchment paper. Plus, they're reusable.
Aluminum foil, especially the quick-release kind that is coated in silicone, works well and will crisp the baked goods slightly more than not using it. Also, quick-release aluminum foil works well for foods cooked en papillote (in a pocket).
You can line baking sheets with paper grocery bags, but be advised that they ignite at 450 degrees Fahrenheit. However, The Cook's Thesaurus issues cautions against using them because of possible toxic chemicals and inks used to produce the bags.