Data - Cat-6 Wire
Ethernet wiring should be done with Cat-6 (not Cat-5 or Cat-5e).
The best place to buy it from is Monoprice.com. Monoprice is an excellent company that sells excellent products at a great price with low shipping cost. A box with 1000 foot of Cat-6 wire costs about $100.
You can buy Cat-6 with either solid or stranded conductors. Solid conductors have better electrical performance so should be used for longer runs and for all in-wall installations. (Stranded wire is a bit more flexible and is used for short patch cables.) Cat-6 sockets with 110 punch downs are made for solid cable.
Cat-6 cable is also available with different frequency specs. I recommend using 550MHz.
Get cable that's in wall rated. Usually the description will say something like CM/CMG rated or will say "In wall rated".
Links to the different color versions of solid 550MHz are as follows:
Purple $105
http://www.monoprice.com/products/product.asp?c_id=102&cp_id=10234&cs_id=1023401&p_id=8046&seq=1&format=2