The Gesso I used was the Daler & Rowney Simply...Acrylic Gesso from Walmart. It did the job. I have used better Gesso before but this was still a standard Gesso. It was $9 and I feel like for the quality it should be $7 or $6. I know Michael's craft stores has a few different Gessos and I believe there might be a $5 Gesso. Here is a search for Gesso on Amazon. Still if you are not able to find a Gesso but you can find the Daler & Rowney, get it. It works.
When it comes to sandpaper and foam roller, I didn't even go out and buy anything special. I just used whatever I had. Anything will work. The foam will create a little air bubbles. You just have to lightly roll it once you have a layer on and the bubble should fall. The fuzzy rollers will work too. For larger canvases you can use a larger roller but in my video I had a small panel just for ease.
The palette paper is very helpful. If you cannot get your hand on it, wax paper will do as well or a paper plate. I used Strathmore Palette Paper from Michaels and it is so handy because you can just tear off a piece when you need it and throw it away once you are done. No washing out anything. I will tell you, washing palettes are my most hated things about art and these palette papers are saviors.
I mentioned that if you wanted a smoother surface to use a brush, well this is true. A roller will create a "natural" effect and mimic what the canvas is already like. I prefer this much more. However for a smooth finish you can use a brush and it will create a flatter surface. It takes some finagling to get it just smooth enough. Another alternative for a smooth surface is to let the final coat of Gesso to completely dry and then sand it.
Finally make sure you wait at least 4 hours before painting on it with actual paint. This will create a better product.
If you have any questions about art and art supplies, you can comment here, on my youtube or tweet me @Anjellykahr.