I really like Rayon (Cellucotton). I can't really compare it to the Japanese cotton b/c I never tried anything else after I discovered Rayon. You can get a lifetime supply at Sally's Beauty Supply for $15 or look for the Rayon thread on ECF. Someone is always giving some away.
As for wire, I would recommend getting at least 5 feet of Kanthal in 32, 30, 28, 26, and 24 Gage. I built a few higher ohm builds in my Kayfun that had to much lag due to coil length when I used 27 gage. I also built a 0.6 ohm for my plume veil clone using the same 27 gage. It was getting hot to fast and causing some wicking problems resulting in dry hits. Once you get comfortable with coils in general you may venture into ribbon, platinum wire, etc. I'm not there yet.