Your choice of sandpaper can be a very personal thing!
I use two kinds. I like the yellow cloth-backed stuff from Klingspor in the lower grits, up to about 320. For 320 on up to 600 I have been using the Finkat paper from Japan, which I buy from Craft Supplies. It is very nice paper. I then switch to Micro Mesh.
Most of the sandpaper we would use is Aluminum Oxide (AO) particles. Garnet really doesn't hold up for sanding on a lathe. The black Silicon Carbide paper, the wet-dry stuff we sometimes use to get into the higher grits, is also a nice sanding product, but it is harder and less friable than AO. AO is a really nice all-around material for our purposes.
I wrote an article on sandpaper a while back - I'll try to find it and get it up on our Articles page. There really aren't that many manufacturers of sandpaper in the US. Norton and 3M are the big ones.
Scott.