Cream Tip - 36 Star
Purple Tip - 38 Spiral
Light Blue Tip 40 Spiral
These are my 3 most used needles and the ones you will see all the time in my videos. They are also in my starter kits
These needles come from Heidi Feathers and are colour tipped for easy identification.
Heidi Feathers do an array of needles in mixed and single gauge packs on their own website.
The higher the number (gauge) the finer / thinner the needle
You can get needles from 32 to 42 gauge.
Personally I recommend using the finer needles as they allow you to work more gently with the wool and see what is happening as you felt. Bigger needles may felt faster and more aggressively which can be counter-productive when learning to felt or on more delicate project.
Ultimately you will find what works for you best.