The surface you paint on is called the "support". The most common supports for oil painting are:

Stretched Canvas - This is the traditional support for oil paintings. The canvas is usually cotton. Linen is also sometimes
used, but this is more expensive. You can buy ready-made canvasses or you can make your own. Art stores sell
pre-primed canvas by the yard and stretcher bars of various lengths ready-mitered, so assembling your own is not so
difficult. Depending on your wastage, assembling your own may not be all that much cheaper than ready-mades. It's a
useful option however if you want to experiment with non-standard sizes or with some of the different canvas weaves
that are available. The main advantage of stretched canvas over other supports is that it is light ( which may be a real
consideration for larger paintings) and is not prone to warping.

Canvas panels - This is the same canvas but now, it is pasted onto a paper board. These are cheaper than stretched
canvasses but are perfectly acceptable for smaller works. In larger formats, they have a tendency to warp and for this
reason you usually don't want to get much bigger than 20" x 24' or so.

Masonite - This is one of the cheaper options, especially if you buy full 8' x 4' sheets in the lumber store and cut it up
yourself, or have them cut it for you. Buy plain masonite, not oil bound or tempered. Some people use the smooth side,
but I prefer the rough side which mimics the weave of rough canvas and has a better "tooth'. You will need to apply
about three coats of gesso (see below) , sanding between each coat, before you have a sufficiently non-absorbent
surface. The main disadvantage of Masonite is that larger pieces can get very heavy, especially when the weight of a
frame is added.

Other surfaces - Almost any wood surface, if properly prepared, can be used. Plywood is used sometimes, although
weight is also a consideration here. You can paint on gesso-primed paper. Unlike the other materials mentioned here
however, works on paper are usually shown behind glass.