The Hoya R72 filter is the most commonly used filter for infrared (IR) photography. However, especially for larger sized filters that are necessary for wide-angle zooms they can be expensive (at least ~ 78 US$ for a 77mm Hoya R72 in April 2015, actually quite a bit down from 140 US$ in Jan. 2008, but the 95mm is 500 US$ in 2015).

One might be tempted to use, e.g., the Cokin P007 (equivalent 89B) filter, because it is less expensive (about 56US$, 2015)  and can be used on multiple lenses. However, on unmodified digital cameras long exposure times are necessary (e.g., 30 seconds). This can cause problems with light entering between the filter and the camera lens due to the design of the filter holder. Given that so little light enters through the filter itself, any kind of reflections from light entering in the small slit behind the filter can cause big artifacts (see an example with a strong neutral density filter, and with the Cokin here). Thus, the ease of quickly sliding it into place after composing the image is negated by the fact that one has to prevent the light leack on the back. As alternative some just hold the filter directly in front of the lens without the P filter holder, although this risks scratching the filter, and furthermore, keeping the filter tightly on the lens could introduce shake, and still not be tight,

Some people have cut the Cokin filter and fitted it into a normal filter holder (e.g., on instructables), thus getting a normal screw-in filter.

 
Other filters:

Kood is a British company, although apparently not manufacturing its own products. It used to be cheaper than the Hoya R72 for large sizes and can be found on ebay (~ 32 pounds/65 US$ in 2008, but 112 Euro/121 US$ in 2015). I purchased one in 2008, and ran it through a spectrophotometer (below).

Opteka seems to work, comments on the internet from people who have both Hoya and Opteka suggest it works the same.

Chinese brands on ebay have different IR cut-offs, difficult to judge how well they work.

A test on the cameralabs forum with some unbranded products shows they can work.

Kood infrared filter

I got a Kood filter. It is coated on the outside surface, but does not seem to be coated on the inside surface of the filter. Image quality on a Canon EF-S 10-22mm or EF-S 60 macro with a 400D is ok. I tried it also with the Sigma 17-70mm macro lens, and the Canon 55-250mm IS, and it works fine (see images under Lenses hot spots). Autofocusing seems to work fine with the Canon 400D, exposure times seem to be within 1 sec (f4, ISO 400, noon in summer) to 15 seconds. Expect the usual long exposure times with unmodified cameras (1 - 30 seconds).
I generated a spectral curve of the Kood R72 77mm filter using a spectrophotometer. The curve looks as expected for a R72-type filter, at 720nm the transmission is ~45%. This is rather similar to the reported profiles, see Hoya R72 at UQG, and Hoya R72 at Hoya.

DIY IR filter
On the Web, people have reported making their own DIY filters from parts of unexposed slide film.
Here is a transmission profile of a developed, black Ektachrome 400 film piece. As can be seen, IR sensitive is not as good, starting later and only reaching about 60%. Having tried this on a 550D, the results were not impressive at all. The film still lets a little bit of light through, and together with the not so great IR profile, it looked more like a normal image than an IR image.