You cannot successfully use regular countersunk screws with a pocket hole jig. The hole is flat-bottomed and would probably split out with a deck screw or drywall screw. Plus, pocket hole screws MUST be self-tapping, because you don't pre-drill a pilot hole.
Kreg's screws are the best going in my opinion. I have found that Grizzly sells them a heck of a lot cheaper and theirs do work just fine...I probably use more of them than any others. McFeely's is another good source. Grizzly's and McFeely's look like this:
Most of Kreg's screws that I see at retailers have the washer head like most of the ones below. Personally, I avoid the washer head if I'm plugging the holes and they need to look perfect, although it probably holds better because you can draw it down tighter. The washer has a tendency to slightly deform the edge of the hole as it goes in. The more cylindrical heads are a slightly smaller diameter.
You use coarse thread screws in softwood and soft hardwoods (poplar, cedar, pine). You use fine thread screws in hardwoods such as oak, maple, walnut, and most exotics. Use a drill with a clutch on a fairly low clutch setting so you don't overtorque them, or drive them most of the way with a drill and finish them with a #2 square drive screwdriver. I always glue my joints as well for the strongest possible joint.
Buy a good assortment of fine and course thread screws in varying lengths. I keep them from 1" all the way to 2-1/2". The 1-1/4" and 1-1/2" are probably the most commonly used in my shop for cabinetry.
The plugs are handy from time to time, but you'll find that most applications for pocket screws are hidden. If you're doing cabinet doors, plug them of course. Use a good amount of glue and a glue brush to apply to the hole and the plug. You have to have the Kreg rocket jig, which incorporates a plug driver tool, which is a must. I think the little rocket jig comes with most Kreg kits, or you can buy it really cheap.