Unless a recipe says otherwise, I suggest you use a relatively inexpensive, but drinkable-- dry white, such as Chardonnay, Sauvignon Blanc, or Chablis. It is often said you should cook with the wine you're drinking with the meal, but unless I am making a very special meal, I am willing to spend a little more on a wine I drink than one which will be one element in my sauce.
But having said that, I will only cook with a wine I would drink: if I don't like it, I sure don't want it in my dinner, either. And by the way: since I won't drink the stuff they call "cooking wine", I won't cook with it, either.
For some ideas on using wine in recipes, see 7 Ways with Wine.