This is by far what took me the longest to figure out. I had no idea when I went to order tubing that I'd be confronted by hundreds of choices. Hundreds. I mean, seriously? After wading through all that information, this is a top level overview on the three most common types of tubing people use for hoops:
PE (polyethylene): This is the easiest to find and most commonly used tubing for beginner hula hoops. It can be found at some Lowes or Home Depots and is commonly used for irrigation, however after calling around in my area I wasn't able to find any in stores. The most common thicknesses for hoops are 3/4" 160psi (heaviest), 3/4" 100psi (lighter), and 1/2" 125psi (lightest). Note that for this material, the diameter refers to the inner diameter, and the outer diameter is around 1/8" - 1/4" larger depending on the psi. This material is connected by using barbed connectors, and I recommend the mid-weight 3/4" 100psi, which is available here with free shipping to affiliate stores.
HDPE (high density polyethylene): This is a more rigid and lighter weight plastic than the standard PE, so more experienced hoopers seem to prefer it to PE, although they aren't that different. It is a cloudy white vs black, so if you wanted to use LEDs you would want to use this or polypro. It is not available at stores, so you will have to order it online. Unlike PE the diameter refers to the outer diameter with this material, and I found that 7/8" was a nice size for a big beginner hoop, and 3/4" is nice for smaller hoops. It is connected by inserting a short piece of tubing that just perfectly fits inside it, and pop-riveting it together.
Polypro (polypropylene): This is the lightest and most advanced material for hula hoops, and is most different of the three materials listed here. Experienced hoopers love it because of how fast and springy it is, but it will be hard to use if you are learning. It is connected via the same method as HDPE, and has the same diameter considerations. You will also have to order this material online.