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The main power supply wire I used is 12AWG stranded (not solid) wire I bought in rolls at Home Depot
The smaller wire is I think called hookup wire and can be obtained at Radio Shack
I use two types of connectors for connection track etc to the big power wires I use 3M Scotchlok Self-Stripping Electrical Tap Connectors 905 (part 054007-06128), these connectors are sometimes called tap and run connectors and can be closed with normal pliers.
For connecting small contact and turnout wires I use 3M Scotchlock UY connectors, also called butt connectors and the UY ones handle wire sizes 22 - 26 AWG.
I bought both type of connectors mail order via the internet.