The majority of printing is done using PLA filament. It is easy to work with, gives off no fumes or harmful particulates, is widely available and is inexpensive. PETG and nylon filaments are approved for use, though both are more difficult to work with than PLA.
We have had good results with PLA from MeltInk, eSun, MakerGeeks.com and filament found on Amazon. Check with a studio monitor before purchasing if you have any questions.