I use fingering weight yarn, a wool and nylon blend - lion brand has a relatively inexpensive version that is decent for starters and comes in self patterning color ways, and it's available inexpensively at JoAnn and the like - on size 3 needles. I will say, I know quite a few people who knit way tighter than I do and need to up the stitch count, or use smaller needles or both, but it's pretty easy to adjust since pretty much the whole thing is based on having a number divisible by four. I usually do 52 stitches instead of 48 for men's or wide feet.

The pattern I think was actually originally adapted from the basic one on the lion brand sock yarn ball band, heh. I also use quite a bit of Stroll fingering yarn from Knit Picks, www.knitpicks.com, which has a lot of decent quality yarn at very reasonable prices.