Most of us do order our hair from Dollyhair. She has a very wide selection of colors. The two most popular types are saran and nylon, but she also stocks several other types.
For nylon, there's also
CustomPony, but expect to wait awhile for your order. She's a notoriously slow shipper.
In the UK,
piper is your go-to girl for everything from hair to custom-made fairy wings and supplies.
You can also find saran hair at
RestoreDoll. I hear she's a quick shipper, but I don't know from personal experience.
If you're looking for tinsel, Jo Ann Fabrics & Crafts stocks various colors of Sulky Holoshimmer Thread that is very, very similar to MLP tinsel. You can also order several different colors
here.
For paint, I prefer Apple Barrel. It's cheap, easy to use, and comes in a variety of colors. Delta CeramCoat and Folk Art are also popular, cheaper brands. Keep in mind that these do need to be watered down; otherwise, they apply too thick and globby.
Others also use Testors or Games Workshop paints, but they're more expensive.
[ADDING: You can also change body and/or hair color with RIT dye. The powder gives a quicker, more vibrant dye than the liquid.
For sealers, Mod Podge Matte and Delta CeramCoat Matte seem to be the most common. Mod Podge Gloss for eyes - to give them that realistic look. There are many brands of sealer out there, though, and everyone uses something different.]
We have a lot of awesome tutorials and many customizing tips in our FAQ. There is also a wealth of experienced customizers here who are happy to help with any other questions. I hope that I've helped answer your questions.