The last time [I did some smoking] I just got some mesquite wood chunks from Lowe's, but I want to try other too. I've heard a lot of good things about hickory, apple, cherry, and pecan. Do you have a preference? Do you get yours locally or do you have them shipped to you? It's probably an odd question, but I honestly don't know. The only place I've even seen it for sale was in Lowe's - but that's a hardware store, not a smoking store. I really don't know where you can buy that stuff.
Growing up near Kansas City, I used to use Hickory for smoking because of its popularity and availability. I now use Mesquite, though, for my smoking because I like the lighter flavor. And, it's also more plentiful here in Texas.
I also have the luxury of being in a family that owns land with Mesquite and Oak growing all over it. I have it available as I need it. Otherwise I would be getting chips from Lowe's too, or ordering it online. I could also buy firewood, or maybe work out an arrangement with a landowner to cut my own at a greatly reduced rate.
If you don't have wood readily available, try browsing online. You can also ask other people you may know, where they get their's. If you still have trouble locating a source, stop in at the local smoke houses or BBQ joints and ask them where they get their's. If all else fails, there is always the local grocery stores or Lowe's.
Different kinds will create different flavors. It's like using seasonings... different people have different tastes. In the same way that I tell you to experiment with spices to find the right blend for your recipes, do the same for wood. Try different ones to find which you prefer.
Some have a stronger flavor than others. A few of them can be too overpowering to some people. It takes a little time, but trying them out for yourself is the best way to decide what you like and don't like. Here are a few basic guidelines.
Oak has a pretty heavy smoke flavor. Its popularity is second only to...
Hickory has a strong smoky taste. It is the most common for smoking and good with any kind of meat.
Mesquite has a sweet, light taste. It burns hotter than others do and is great with all meats.
Pecan has a nice taste that's lighter than hickory. It's also good with almost anything.
Apple has a sweet, fruity smoke taste. It is good with many meats, but commonly used to smoke ham and bacon.
Cherry has a slightly sweet flavor and good with most meats.
Always use a variety that is well seasoned (dried). Never use it freshly cut, or green, because they can ruin your smoker (not to mention the meat). I made that mistake once, but never again. You can also check this article for more details.
Remember: Never cook large pieces of meat (beef brisket or pork butts) at temperatures over 225 degrees. Doing that can boil the fat right out of the inside of the meat. You know what that does... it dries out your meat.