Please note that I am not an expert in painting, but rather speak from my own experience and training.
Types of Surfaces
You can paint on countless surfaces when they are prepped accordingly. If you're ambivalent towards the longevity of your work, you can skip preparing your surface. The most popular surfaces for oil painters are panel, canvas, and linen.
The preprimed canvasses at places like Blick, Michaels, and Opus are perfectly adequate to experiment on and even create great work on. The biggest issue with preprimed canvasses is that the quality of the canvas itself is quite low, the frame is sometimes not square, and may have other imperfections. You can battle these issues by carefully choosing your surfaces, making sure they are square and to your own standard. I've painting on these surfaces, but I've also done my own priming on top to reduce the canvas texture that is often so prominent on store-bought surfaces. Some artists will buy the preprimed canvases only for the premade frame, and stretched their own canvas or linen over top.
Other surfaces should always be primed when working with oils - whether with clear or white acrylic or traditional gesso. For wood panels, it's best to also size them first to prevent yellowing. Painting on untreated canvas, linen, or wood can eventually cause the surface to decay as oils seep in between the fibres, weakening the surface. How much effort you put in to preparing your surface is entirely up to you and how long you envision your work lasting.
You can also purchase handmade stretchers and panels from those who specialize in creating surfaces for artists. I recommend asking your local art supply store if they have a contact for you. If you're a Vancouver, Canada local, try Rath Art Supplies on Main. He's phenomenal.
Finally, you can build your own surfaces - either wood panels with frames (often called cradled wood panels at art supply stores) or frames for stretching canvas over. Access to the tools required for building these are much easier in art school. Don't take it for granted if you're going to pursue an art degree.
What I Use
I'm a huge fan of canvas and linen, but as of late I have gravitated back towards wood panels. I generally use Gotrick wood panels, not preprimed with gesso. Panels can withstand heavier paint and scraping than stretched canvas can, and I don't have the wall space or storage to paint on canvas stapled to the wall and stretch it after it dries. I prepare my panels with PVA size and then a simple acrylic primer.
Totally take advantage of sales at places like Michaels to grab some preprimed canvas. It's perfect for experimenting on and fairly inexpensive so you don't worry about "wrecking" your canvas.
If you have other questions, please leave them in the comments below.