I buy rings, because I don't have the cutting tools to achieve the same fine edge as TRL.org does. If I had the blade and patience, I'd buy wire. Buying coils seems pointless to me. Either get wire to make your own specific size of ring, or buy rings because they're pre-done. Coils are only one size and they're not finely cut, the worst of both!
That said, for pure practice you can find floral wire for like $2 for a pound, and aluminum or copper beading wire for similar costs and more variety of colors. But if you're getting wire, you have to deal with coiling and cutting as well, and that's more equipment and effort. Buying rings may end up more practical. Galvy is also available at any hardware store, often used for electric fences so it's cheap and comes in bulk. Lowe's nearby has 500 foot spools of galvy. Just be aware, that hardware stores DO have aluminum, but it's raw aluminum. Jewelry aluminum is bright aluminum, treated to be shiny and nice, but raw aluminum is a darker shade of brown and will rub black against your skin or clothing. Raw aluminum can be anodized, if you happen to have an anodizing machine, but otherwise avoid it. Also most craft stores sell small packs of jump rings, but you pay for the small package size compared to discount bulk. Split rings (keyrings) aren't bad practice either.
Also, shipping from Canada isn't terrible, if you're willing to wait. UPS/Fedex (I can't remember which) has quick shipping, but it's costly. Air Canadia is cheaper but ground shipping gets to be like 14-21 days delivery! Patience is a virtue
Euro 4-1 is a standard starting weaving, but byzantine isn't terrible either, once you get the hang of it.