WireHeads have a favorite gauge of wire to work with. In the U.S., the higher the number or gauge, the thinner the wire. A pair of earring wires are typically made of 20 gauge wire. When I was first learning, all of the pieces I made were from 20 gauge wire. All of these are 20 gauge sterling wire:
The work of Eni Oken uses smaller gauage wire but because of the wrapping of wire on wire, you wouldn't want to start with larger gauge wire or it would be very bulky (although you might want that look for particular pieces or a style).
Now, I like it BIG! Errr, I mean, I prefer heavier gauge wire, 14, 16, 18. I think the heft makes a different statement and it's doesn't look out of place with lampwork beads. I make 18 gauge headpins and clasps such as this Spiral necklace:
I used 16, 18 and 24 gauge in this Collaboration Part Deux: Universal Truth to make the woven part of the pendant, the headpin and the bail.
The larger gauge wire balances the larger beads well.
You can buy craft wire at your local craft store but I suggest the hardware store if you're just wanting to play around with it. You can buy rolls of copper wire at a reasonable cost. Save all the wire that you don't make into jewelry, you can recycle it.
One last note, when buying wire, I purchase dead soft because I work harden it (I'll talk about that later) - but basically the bending and hammering will make the wire stiffer. If you're planning on making earwires, buy the half hard because you won't be bending the wire enough to work harden it.
It's fun to go to the hardware store - there's lots of things there you can incorporate into jewelry - rubber "O" rings, small fasteners and you can pick up a good pair of needle nose pliers too!