copper wire is usually best. 16 to 22 gauge is fine. i prefer modern teflon wire, versus the older and outdated cloth wire. either that or i use tinned solid core bus wire with fiberglass tubing.
Cloth-covered has that vintage look, Teflon is more modern and practical. For most applications, 20 or 22 gauge is plenty. If you have a lot of tubes, you might go bigger on the heater wiring.
DIY builders stay away from poly-coverd wire because soldering melts the insulation. That's why we use Teflon or cloth instead. I used Teflon in my DIY amp (see link in signature, then go to "The Workshop"). If you want Telfon cheap, go where the AX84.com crowd goes - http://www.apexjr.com/. Good deals on surplus teflon wire.