My first printer, the Ecksbot, ran on 3mm filament, and, the Eckertech guys recommended ABS filament, and, I bought several colours from them (red, black, green and blue). Objects printed with ABS filament are usually tougher, and stand up to the outdoors better than PLA. The bad thing about ABS is the smell that it gives off during printing (and the associated potential health issues).
When I got the Micro3D printer, I decided to primarily use PLA in it, allowing me to use it in my office. The M3D uses 1.75mm diameter filament, and I purchased several rolls from the manufacturer.
After those initial spools, I discovered that amazon.ca sold some filament. And other online retailers came along. Now, I have a store (3D Printing Canada) about 45 minutes from my home, so, I buy a lot of filament there.
I still print mostly in PLA, but do like to try other filaments when I have time. Looking forward to exploring more flexibles in the near future.