For the US we have a helpful chart
in this guide that can help you decide based on type of foam, size, thickness, and price.
For my biased opinion, I really like SKS HD-Foam or TNT Cosplay. They are very similar, but I like the light gray color of the HD-Foam over white or black for TNT. I just bought some What the Foam by Cosplay Apprentice and intend to try it out on a project this weekend, but it does not come in large sheets or in thicknesses over 6mm (as of writing this).
I've also tried the Yaya Han foam from Joann's, but found it to be pricey even on sale. Works great if you run out in the middle of something and don't want to wait for a new shipment of foam. Haven't tried the Michael's brand yet, but might look into it. Started with Harbor Freight, and if new and/or have a very limited budget I would recommend it. It's not as dense, and doesn't work as easily as the others, but it's a good choice for newcomers or those on a limited budget.