I like trugrit and Lee Valley. I prefer to get the coarser grits from truGrit and the finer grits and leather from Lee Valley. I would check out HD's recommendation as well. As far as grits go it depends on what you want to do with them? Stock removal? Reprofile/Regrind? Or just sharpen?

I found that the ceramic belts are awesome for re-profiling and stock removal. The zirconias aren't bad either but a little slower. For sharpening I just work my way from 120 up to 15 or 9 micron followed by leather - depending on the type of edge I want to put on the blade. If you prefer a rougher edge you could stop at 320 or something rougher even. The Norton Norzon belts are a good bang for the buck. Good luck!