Types of sandpaper to get

avoid sandpaper but instead get emery cloth. It is more durable and can be used wet or dry.

anything from 500 and up are good choices. Also look at the drug store in the nail care area for sanding sticks of various grits. Also while there pick up some polishing sticks too!

Large sheets of sand paper are nice to have on hand but I find I rarely use them other than truing fuselage halves. I show how here:  Perfect Seams

I generally keep in stock 320, 400, 600 and 1000.  I also have a kit of fine sanding sponges and cloths that go much finer.  I also keep some polish (just the polish, not a wax/polish combo) handy.

You can find 1200-1500 grit in the auto supply store (Pep Boys, O'Reilly, etc).   I've found polishing sets with grits down to 32000 at the local Rockler Woodworking store.    And of course, Sally Beauty Supply for fingernail emory boards and polishing sticks.   

It pays to keep your head on a swivel and look at sources other than traditional hobby supply shops.  You'll find that you can save a bit on equivalent products that just lack the model logo.

I love the Testor's Sanding films, use them a lot, as well as various grits of Wet 0r Dry sandpaper.... I usually just buy the "variety" packs of WD paper. 

Like Hans said, Wet or Dry is a decent choice, available from 180 to 1200 from any 3M stockist.