On HF RG-58 or RG-8X coaxial cable will work just fine and has the added advantage of being light weight and inexpensive. (Again ask around. Someone might have 100′ they’d give you.) The one disadvantage to using coax is it will really only work well on the band for which the antenna is cut. Also you’ll need to a connector at the rig end. At the antenna end you can just split the coax and solder the centre conductor to one wire and the ground shilled to the other. Seal as best you can with tape or coax goo and you’ll be on the air.
Open wire feedline is great as will load on all bands from the band you cut the antenna for and all frequencies that are higher. In other words, if you cut your antenna for 40 meters (33′ per side) and feed it with open-wire line it will load on 40, 30, 20, 17, 15, 12 and 10 meters. A really cheap commercial antenna that works wonders if the G5RV-JR that can be found used under $50.
The disadvantage of open-wire line is you’ll need to figure a way to get it into the shack without compromising the spacing between the wires or grounding them on a window frame. Oh, yes you’ll need a tuner as well but you can make a tuner or buy one for $50. Just make sure it’s got two terminals to attach the open-wire feed line.
You’ll need to ground your equipment to a cold-water pipe or ground rod (4′ minimum and 8′ preferable) driven into the ground with a large diameter piece of wire. Hookup wire is too small for this job.
Regardless of what antenna you build or buy beg or borrow an SWR bridge to make certain your new antenna is resonant on the frequency it was designed for. It’s nice to have an SWR meter inline at all times but it’s not absolutely necessary.
Finally when it comes to safety always disconnect your antenna from your rig when you’re not using it.