Chalk comes in a variety of colors, to match your table decor, and "Master", created by Tweeten Fibre Company of Chicago, is the brand generally considered to be the finest. Certainly they are the most famous name. Pick the color closest to the color of your felt.
Cheap chalk will cake in lumps on your cue's tip, especially when the air in your home is humid. Good chalk lasts longer, wearing away from its cube only a few grains at a time, and adheres better to the cue tip's surface.
Dispose of chalk cubes hollowed out to near the bottom from use, or the cube's sides will scrape and discolor the stick's glossy white ferrule. The cube will chalk your tip ineffectively, and may soon burst into fragments into your hands! The cube itself will end up in tiny pieces everywhere.
Warning: Never use cue chalk as a substitute for talcum powder on the hands! It may irritate the skin, causing small blisters.