I use a range of different types of wire, thread and cord. It really depends on your design and your beads. It may be good to just get a book on some basic materials and techniques.

I have added a link to a book by Stefany that has great pictures of collectible beads (always a plus) but also goes into several ways of making jewelry with them. Not sure if Stefany has some herself, or that indeed amazon is your best bet.