I hope this is not in contravention of acceptable use policies, but I sell conductive thread and have recently added an option of 10 yards of thread for $10 Canadian anywhere in the world. 10 yards is enough to do maybe 100 fingertips. You'll find my site at members.shaw.ca/ubik/thread/order.html
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Any - so long as its not too too abrasive, and conducts from your finger to the screen. The regular 2-ply stuff you would use for an arduino lillypad would do just fine.