Cat 5e or Cat 6. 

Get a cross cabe if you dont want to use a switch or hub. They way you can connect them directly to each other. Its usually marked on the cable on the the packaging.

http://www.cdw.ca/shop/products/Belkin-High-Performance-patch-cable-2.1-m/822351.aspx

http://www.cdw.ca/shop/products/Tripp-Lite-10ft-Cat5e-Cat5-Molded-Cross-over-Patch-Cable-RJ45-M-M-Gray-10ft/622254.aspx