Your best bet to get the most power out of your amp would be 0-gauge wire, which would give your amp all the juice it needs. But one, that's expensive, and two, you're also talking cutting big holes. I would say you probably need around 4-gauge or 6-gauge wire, at the smallest. Your best bet as far as power/ground wires are the pre-package deals they sell at Best Buy, Circuit City, etc, that come complete with a power and ground cable, an inline fuse, and usually a small roll of speaker wire. They'll run you a bit, but they're worth it.
As for hooking into your head unit, if it's aftermarket, try to find braided RCA cables to run back to your AMP. It helps to reduce noise in the wires. Same goes for the speaker wire...braided. And 14 gauge is probably all you'll need to get some serious power out of your sub.
Last, if your amp has more than one channel, make sure you run it on the mono setting so you get the most power out of your sub...
Other than that, good luck.