Right then, assuming you got your tools, now you need your supplies. I already mentioned buying online, so we are thinking of the other option now.
There are a number of things to consider when getting your supplies -how may people you want to kit out, material type, price etc...
The most widespread and commonly used material for homemade chainmail is the galvanized steel wire. Its used in fences etc and fairly easy to find. Its dirt cheap - a hauberk (knee-length long sleeved chainmail) will cost you 25-30$ in materials and there will probably be leftovers for a coif. Its also fairly resistant to corrosion - my own hauberk has seen use since 2009, through rain wind and snow without taking any corrosion related damage at all. And of course above all - its very easy to acquire in large quantities. The most common size used is 2mm wire. Don't ask me how much is that in the gauge system, check it yourselves.
Next possible material is aluminium wire. Now that is a notably less common material. It also has different qualities and price tag to it. For starters its 1/3rd the weight, which is a very notable bonus. Its equally corrosion resistant and well...shiny, that is if you like shiny stuff. Now the downsides - while its light weight, aluminium is also much weaker. Its easy for rings to pop open and fall, so expect regular damage. If you make an aluminium chain shirt, you'll have to reinforce the shoulders with steel rings, since aluminium ones can't support the weight. One more thing - it leaves smudges, and finally comes the price tag. While its only 1/3rd the weight of equal steel wire,aluminium is also 4-5 times the price tag per kg so its a bit more expensive too.
I really can't say much about finding it though. My own source is asking a person in another town to bring me some, and well thats it. What he brings me is this - its basically conductor wire without the insulation. I have to unwrap it first then turn it into chainmail. Again look for warehouses etc. It all depends on your local area.
Last one is the "exotic" stuff. Anodized rings and so on. Decoration is the word of the day here. You will probably have to buy them online though.There are exceptions though. You could find such rings in ....newsflash - jewellery supply stores. They won't come cheap either but you could make a piece of golden chainmail bikini for say the price of a full sized chainmail shirt.Using them for larger project is going to be hellishly expensive. Not to mention you are very unlikely to find enough of them in 1 store.