I went to my local yarn store and picked up the first yarn that said sock on the label (On Your Toes Bamboo) and picked up a size 4 (3.5 mm) set of five double pointed needles. I have since found out that Size 1-2 are the the most common sizes in sock patterns (at least on Ravelry.com).
Size 1 (2.25mm) - 4,016
Size 1.5 (2.5 mm) - 3,901
Size 2 (2.75 mm) - 3,221
Size 3 (3.25 mm) - 1,375
Size 0 (2.00 mm) - 1,360
Size 4 (3.5 mm) - 975
I wound up picking a pattern that called for a smaller needle and larger yarn, but since I was only trying to "make a sock", not necessarily a "wearable" one I was not hesitant on the alternate supplies.
I cast on using even large needle and then moved the stitches to 4 of the double pointed needles and worked the sock going down the parts from top to bottom: Cuff, Leg, Heel Flap, Turned Heel, Instep, Foot and Toe. I made sure to just take it small section but section and before I know it I had one sock and then two! In the end I like the pattern, the yarn and love the bamboo needles, but would change the yarn and needle size to match the pattern or use a different pattern with the yarn and needles. The socks, due to the large needles and smaller yarn, came out more like a slipper sock then a normal, everyday, in your show sock. They do look great and are comfy and taught me the basics of sock assembly.