First, if you're just starting tying your own, congrats. Though knots can be a hassle, it really adds a lot of flexibility and ability to experiment. Too many people pay so much attention to everything else, and then neglect having a leader designed for what they're doing, which is perhaps the most integral part of presentation.
I started with the leader kit put together by Fly Fishers Paradise in State College. Comes with everything you need, including a book of recommended leader formulas and what knots to use where. Not sure if it comes with tippet, but I believe it does. Either way, you can always substitute your favorite tippet material.
The leader material itself is Maxima leader spools. Dark brown in color.
Advantages: Stiff (turns over flies very well). Very hardy, won't rot or get weaker from abrasion. Good knot strength.
Disadvantages: Has memory, though a run through the leader straightener straightens it out real quick. Its stiff, so you need enough tippet to prevent drag.
You can always use different formulas from any number of places. If its dry fly only, hard to beat the Harvey/Humphries formulas. I'll post them if you want. I still use the Maxima for the butt sections and most of the taper, but I've gone to using softer material for the last few sections when using dry flies, and when pure nymphing, I do away with the taper altogether and go from butt to very long tippet (may taper the tippet, though).
The FFP formulas are still what I use, as written, and all Maxima until the tippet, for most of my fishing, when I'm likely to switch back and forth between dries, nymphs, streamers, etc. You can order by phone and they're very quick with delivery.