So you want to make chainmail? Great! I actually just learned myself about 2 months ago. I've nearly completed my first mail shirt and i've made a few other things as well. Bracelets, necklaces, dice bags...
I've found a few good websites since I started
Mail Artsan's
http://www.mailleartisans.org
which has forums on nearly every topic and people that are great on dealing with questions.
The Ring Lord
Theringlord.com
Is a mail supplies store, no you can't buy many finished things, but they sell hauberk patterns, rings, wire, pliers mandrels
SCA sites usually have different rules for different chapters, if you're interested in fighting in armor....
generally their accepted ring size is 3/8'' inner diameter with 14swg rings.
Wire, always have to have wire.
I was told to use galvanized steel to start, because it's cheap and easy to find, so if you don't want to do it or don't have the time you're out only a few bucks. it's usually 2.50 or so for 100' of wire for 16g and about twice that for 14. Some sites on the net offer different types. stainless steel is stronger but harder to work with because of that. Titanium is super tough and half the weight but again harder to work with. other metals are out there, auminum, which is super easy to bend, bronze, brass or whatever.
second you'll need something to wrap it around, called a mandrel. this is basically a round steel bar with a hole in it for the wire to get started. they sell them in different diameters at home depot's, lowes and many hardware stores. On the mailleartisans.org site there are several articles on drill vs hand winding and also some mandrel brace designs I recommend reading them to get an idea of coiling.
cutters, aviation shears or a hacksaw are my two methods of cutting. A hacksaw for finer things, like jewelry and aviation shears for armor links. use the yellow handled straight cut ones, they are what i've seen most often recommended.
Pliers, you'll need a set you like. I've heard linesman pliers prefered for a lot of armor weaving, esp with the stronger metals. I use one pair needlnose, 6.5 inch kobalt, and one pair flat nose. It's been recommended that an identical pair be used. My needlenose have serrations, flatnose doen't. the serrations easily mar lighter material, even the galvanized steel can be scratched with them. So, if you're worried about how the rings will look on close inspection, you should probably use non serrated pliers. check jewelry stores or online sources, most hardware stores will only have the grippy ones.
the mail artisans site has lots of instructionals on how to start. the most common weaves for mail were (this is the european common) 4 in 1 and 6 in 1. Meanign that 4 or 6 rings passed through each other ring. 6 in o 1 is at you would expect, about half again as heavy, It is also not as flexible. 4 in 1 has a good amount of fles to it, in the horizontal dimension. Vertically both weaves do not flex.
Lots of Luck
David