I buy the wire at Feldmans by the quarter mile for around $15, which is a good buy compared to some of the others like; Buider's Square, or Ace who sell them by the 100 ft for $5.
I live in Kansas City, Missouri, I started making chainmail from a friend of mine named Eric Walker (who has a juggling page called Airflite) than later on by another friend of mine named Chris Williams (who has a page for his band Skydog). The first pattern I learned was Saxon Twist using two $7 pliars I had recently bought at Radio Shack and 14 gauge galvanized steel that I bought at Builder's Square for $5. To wrap the coils I used a metal lathe with a 3/8 in bar, but you can also use a metal tool box with a hole on both sides going long ways with a 3/8 in bar sticking through it, than you can use a drill to turn the bar.
After I mastered Saxon Twist I went to 4 in 1 after that I learned the rest over time. I am currently working with both 3/8 inch 14 gauge, and 1/4 inch 17 guage.