The most common kind of mesh that suiters use for making heads is the plastic kind, most commonly found in craft and fabric stores. WalMart usually has them in the fabric department. There's two major sizes that can usually be found. First is the large legal-sized piece, which is a stiffer kind of mesh, but great for using with heads. The second is a smaller standard paper-sized kind of piece, which is less stiff. Some craft stores sell variations of sizes and colors, so this could be good.
All these plastic meshes have a mesh size, which is how many holes per inch. You can find 5, 7, 10, and 14 mesh. For 14 mesh, that means you have 14 holes per inch/per 2.54 centimetres. The most popular is 7 mesh, though 5 mesh can also be used if you can find that.
For the cloth kind, you can find this in fabric stores. It can look like 5 mesh, all the way to a fine mesh, like cheesecloth.
You've heard about people sewing the mesh. This can be done with kite string and a large-eyed needle. This allows for exceptionally STRONG pieces when done this way, though it will take time to do.
Another way to put mesh pieces together is to use nylon cable ties. This will allow you to check the look of the head before you sew it, and you WILL go through the ties like water, correcting your goofs, etc. You can find these ties at any hardware stores, in bags of 25, 100, 500, and 1000, since this stuff is so cheap. (courtesy AtPaw/Jamie Wolf)