The cheap stuff (as long as it's real wine, not something sweetened or flavored or fortified) is all you need. I try to only cook with Trader Joe's 2 Buck Chuck (Charles Shaw - though the price is now more than $2 it's still cheap). If I don't have any handy, I'll go to the grocery store and pick from the bottom shelf - hopefully not spending more than $6. Depending on how much the recipe calls for, you can also buy the "single serving" bottles if one will be enough. Then it's easy to store the extras (usually come in a 4-pack) to use in the future.
Generally, I try to cook with merlot or pinot noir. I think the end result is a bit more subtle. But cabernet sauvignon, syrah, malbec or zinfandel are all fine.
Here's a great article from the NY Times dispelling the myth of not cooking with a wine you wouldn't drink (and it specifically references 2 Buck Chuck)!
http://www.nytimes.com/2007/03/21/dining/21cook.html