If you have string or rope around which is handy, start with that. You can go out to buy lines when you are a bit more experienced and know what you want and need in them.
The best string or rope I have ever found to try out knots is shoe and boot laces.
They are easy to tie, relatively easy to untie from almost every knot, hard wearing and nice to handle.
And they come with aglets, helping in feeding through the ends.
For practical knots I usually go for the thickest size mountain boot lace.
They are the size that fits my hands, they might be a bit thin for some people.
If you make your own training piece of string, remember to finish off the ends well. Taking a page of the shoe lace book might help, by putting a narrower stiff end on. (Imitating aglets.)
When you know the basic shape of the knots you will need to use in serious situations, like in climbing where your life is going to depend on it, you have to have trained in the rope you are going to use for the purpose. The actual rope is best in that case but shorter ends for just learning have their uses as well.
And when you are going to use laid rope, you should be familiar with how that rope handles. Which is rather different from the way braided rope and string handles.
Each knottyer I know has his/her own 'trained' piece(s) of string with which he/she is trying out new knots, teaching others and doing bits of showy knot work when people are watching.
Each person will tell you why this is the best string. The only thing they have in common is that the user has used it many times, is very familiar with how it behaves and is happy to use it.