It depends where you are, what's available to you and what you want to do with the yarn. If you just want to learn to knit and make a practice piece, then go to Joann's, Michaels, Hobby Lobby, Walmart or AC Moore and get something inexpensive in acrylic or maybe cotton or blends. Most brands you find there will be fine. Look for a light color, medium weight and smooth yarn, not a fuzzy or furry yarn. These usually have a 4 on the label and you can use a size 10 needle with it. If you have a local yarn store, you'll find lots and lots of yarn, mostly nonacrylics in wools, alpaca, bamboo, sillk and cotton and more expensive. Get what feels nice to you.
sue- knitting heretic