Most filters I've seen and heard about do it like this (in order of water hitting the media to water leaving the filter):
1. Coarse sponge
2. Finer sponge and/or filter wool
3. Biological media (ceramic rings, gravel, porous rock, etc)
4. Additives (carbon, peat, coral, etc)
Sponges don't differ much in quality but the pet store stuff is guarunteed to be safe. Filter wool is the same but the stuff from Spotlight is good as long as there are no additives, fire retardants, mould inhibitors, etc. For bio media I've only used the aquaone ceramic noodles and they've been great. Additives you only need for temporary treatment or when special fish are kept.
HTH