It really depends on what you want to make, who it is for and how you would like to be able to wash it. Different yarns work best for different purposes and need different care.
I'd recommend beginning with most any yarn that is smooth and of a medium to heavy weight that you like and seems appropriate to your project. See what needles are recommended for your yarn on the skein or on a web site. You should probably start out with the needles they suggest but you may find that you need bigger or smaller needles to get the gauge called for than they recommended. That is okay.
There area a lot of good on-line sources if you don't live near a yarn store or craft store that sells yarn. KnitPicks and Webs, Joann's etc. have some reasonably priced yarns.