I prefer cotton rounds (Make-up), or cotton yarn if I don't have rounds. Just make sure it's 100% whatever you choose! And be sure you let it soak for a good 2 hours or more before you fire it up!

Try a few types until you find what you like, some prefer balls, others like Q-tips or braided rope (Candle wicking or butchers twine/rope)

Here's a good long thread about cotton, with feedback from users about all types, but mainly rounds