Ringlord is pretty good, and depending on your material of choice, you CAN make your own rings with a hand-drill, a mandrel bit of appropriate size, and some good old fashion elbow grease. However, that being said, there are some rings you should NOT attempt to make!
Aluminum rings! Do not attempt to make these yourself. Ringlord runs their aluminum wire through an extruder of some kind. Basically, their 14ga wire becomes 16ga rings. If they didn't, the wire would be much softer, much looser, and much more of a pain in the arse than it already is to make it keep its shape.
Depending on the type of chainmail you're making, just go with non-flex steel wire. The flex wire will be a pain in the arse to get it to keep a uniform shape when winding. Also, obtain a good jeweler's saw. You'll need it. Make sure to point out to the salesperson that you want one that can cut steel, otherwise, your time with the snips is going to drive you mad, and also make your rings look like poop.