Having used canister filters for awhile now and a bunch of different types of media I decided to share what I feel are some of the best and most cost-effective media items you can get.
Course Media
Typically I find most course media is some type of porous plastic material, similar to that of a shower pouf. That being said you could use a shower pouf, however like a lot of others out there you can step into your Dollar General Store and pick up a 6-pack of plastic scouring pads for $1. I honestly love using these scouring pads more so than course media made for an aquarium because they collect a lot of muck inside the pads. Most of this plastic media can be easily hosed out and reused numerous times before you find the need to possibly replace it, which makes it some of the most cost effective media you'll come across. Also, if your plastic media is like that of Easter grass you should probably just toss it because loose stuff like that doesn't hold together and won't do as good of a job at collecting big muck particles.
Medium Media
Foam Media is generally used as a medium grade media, and I have found this may be most similar to thin foam mattress toppers, and the one with crates in them will allow for a bigger surface area for bacteria and such to accumulate. Keep in mind if you try using a foam topper that it isn't treated with odd chemicals or something (or perhaps soaking/rinsing it well may help if you detect odd smells). Foam media tends to rinse out pretty well to be reused again but may require a bit more squeezing compared to the course media. I also find many people tend to skip out on this type of media so, it's up to you to decide if you want to use this or not.
Fine Media
A lot of people like to buy polyester quilt batting from a craft store (or similar) to use as fine filter media. Keep in mind that this material needs to be replaced more often than your other media because I have found it generally breaks down after a month or two and it becomes almost sludge-like and difficult to clean thoroughly (so just toss it after a month). This is also one of the most important types of media to have in your filter as it keeps the finest muck particles out of your good biological media. You'll want to make sure the batting is 100% polyester, is not mildew resistant, and doesn't contain any additives.
Special Media
There are tons of gimmick media type products on the market from media claiming to reduce nitrates to clarifying water. Take these types of products with a "grain of salt" (as the saying goes), and know that some of these things may not do much of anything and may just cost you more money in the long run. A lot of people love to use carbon based media and honestly I don't notice significant changes from using it whether it's in pad-form or a loose form that you place into a filter sock. Carbon can be good or bad as it can possibly remove any water treatments from your tank and create clearer water. There's also Seachem Purigen which is popular to some people and while I'm not sure what impurities this stuff removes it does change color over time (so it must do something, right?), but don't expect miracles with any of this stuff. If you don't notice changes in your tank, water stats, or with your aquariums' inhabitants than I'd say it's probably just a waste of money in the long run. Also, if your media is decent, setup properly, and your filter has had time to cycle (at least a month) then you really shouldn't have a bunch of problems with your tank water (although some inhabitants do prefer certain types of water over others, in which case you may need something like an RO filter). More natural items people use to help with their water stats are things like seashells, driftwood, or peat, but these items may be unreliable or hard to adjust.
Biological Media
Some of the best biological media that's also the most cost effective is
natural lava rock (just be a bit wary of chemicals in some of these). Most people will probably suggest rinsing out your media every month, but it's been said you should replace your biological media every 6 months (especially if you want to avoid possible health issues with your aquatic friends down the road). Although I recently spoke to another aquarist who stated "s
ome manufacturers will tell you to replace the biological media every 6 months but that is ridiculous - the media should be nicely bedded in with aerobic and anaerobic bacteria. The anaerobic bacteria generally take 4-6 months to get established but aerobic should only take 2-3", so to each their own. To clean your media a bit more thoroughly of possible nasties that could be lingering around... a friend of mine suggested using equal parts water and vinegar (a gallon of vinegar is also fairly inexpensive and it's great for removing hard water build-up on your tank). Keep in mind this vinegar solution will not eliminate all nasties, which is why you should eventually replace it. To help kick start your bio media you'll probably want to invest in some bacteria balls as this will help you avoid water cycle issues (but still be sure to keep a close eye on your water stats during this time, just in case). You'll probably want around 2.5 to 5lbs of bio media per 30 gallons of water in your canister setup in order to better sustain your aquarium's bio-load. Also, if the lava rocks are too bulky you can easily hit them with a hammer or ax to break them into smaller pieces. As a side note, avoid buying ceramic rings as its smooth surface won't allow bacteria to build and accumulate, but its best use is redirecting water inside your filter (just in case you got some of this for free with your filter setup and don't want to waste it).