If you are a serious knitter, I do recommend that you purchase a set of interchangeable needles. Yes, it seems awfully expensive. However, if you were to add up the cost of buying each needle size, in each length of circular needles, that would be far more than the cost of an interchangeable set. With the set, you usually get all of the most commonly used needle sizes and cord lengths. Also, most manufacturers offer add ons - you can purchase additional cords and/or needle tips to supplement your set. It really is a wise investment. You can find some fairly affordable sets, so don't think owning an interchangeable set is out of reach.
If you by needles in Wal-Mart, Joanns, Michaels, etc. you will typically see the same stuff - Boye and Clover, and usually Susan Bates. There may be a couple of other brands carried as well. Your local yarn store may or may not also have these brands, and in addition you can find addi needles, rosewood needles, Knitter's Pride, Kollage, Chiao Goo.... it goes on and on. And of course, you can find pretty much anything online. (My favorite online stores are in the 'shop' tab at the top, and I also have some listed in my amazon store, which you can find in the right side bar.)
Needles come in many different lengths, some very short and some very long. You can get them in all different materials, such as wood, bamboo, plastic, acrylic and even glass. You can get the standard round needles, and even square needles. The square needles are touted as causing less strain on your hands, and create more uniform stitches. I own a set of square DPNs from Kollage and have to say, they do feel pretty good in my hands.
Some needles are very polished and smooth, allowing the yarn to slide with ease. Others have a little bit of grab to them, making the yarn a little more difficult to move. For new knitters, it can be a bit of a help to have needles with grab, as there is a lesser chance of stitches dropping off the needles. The good old fashioned aluminum needles have grab, as well as bamboo and wood. There are some needles out there that are made of those materials that are more polished than others, and so the yarn will slide easier. If you see a needle that is really shiny, chances of it being nice and smooth are pretty good. Nickel plated needles, like addi turbos and the Knit Picks Options, are very slick and smooth. Yarn slides like a dream on these needles. Depending on the type of yarn you use, and how you hold it, you may find that needles that have that little grab to them still allow the yarn to slide easily. For instance, I once knit with Lion Brand Homespun on acrylic needles. It was awful, I had the hardest time moving the yarn on the needles.
I am not a needle expert, by far, but I have used a lot of different types that are available. I'll give you some links to peruse. I will also post a video below, if anyone is interested. This list is by no means everything out there. There are many, many more. I suggest asking at your local yarn store, or if you know someone who knits, to give you a few suggestions. Knitting boards (such as Knitting Paradise) are also a good place to ask around, and you should be able to get a good idea of pros and cons of different needles. Again, it is personal choice. I adore addi needles, but I have seen people posting about their dislike for them. There is no wrong choice - whatever feels the most comfortable to you is the right needle. Don't let someone sway you from a cheaper needle, simply because it is cheap. If you like the cheap needles, then use the cheap needles. There is no need to spend $32 for a pair of needles if you enjoy knitting with a pair of $5 needles. The whole point of knitting is for you to enjoy yourself and relax and have fun with fiber.
A word on needle gauges: Most brands have a needle gauge. If possible, use the gauge for whatever brand needle you are knitting with. It is possible that different manufacturers may have needles that vary slightly in sizes; if you use a Lion Brand gauge to check the size of a Boye needle, it may not be exactly accurate. This is another reason doing a gauge swatch is very important if you are knitting a fitted garment!
Aluminum (available in the standard round needles, or the Artisan needles, which are square)
Quicksilver (made from a special heat-treated aluminum alloy)
Takumi Bamboo (also comes in 13-14 inch sizes)
Aluminum (available in both round and the Artisan square)
Takumi Velvet (highly polished bamboo)
All of the above also have circular needles, made from the same materials.
addi - you can see all of the interchangeable sets here.
Signature Needles - I am just providing the link to their main page. They have single, double and circular needles, and you can "build your own" needles. Choose the length, end cap, and point sharpness of your choice. Pretty nifty needles, that carry a pretty hefty price tag!