I am no expert when it comes to turning, but here is what i have learned.
When it comes to turning, you can turn anything, if you can find some seasoned (dry) pine, then that is really good pratice wood, and you can actually make some nice things out of it, you can also glue together 2x4's and 2x6's and get a lot of practice bowls, spindles, hollow forms or what ever you want. The advantage is, pine is very soft and turns easily. Just make sure it is dry, cause i am sure you have at some point in your life cut down a pine tree, or at least a limb from one, and you noticed all that sap. Now imagine that much sap, spinning right in front of you and onto you, you'll be covered head to toe before you know it. If you wanted to learn spindle work, you can rip 2x4's down to 2x2's and cut them at say 8-12 inchs, you can do the math for how many you can get out of an 8' board.
When it comes to the other woods, each one is different, but you use the same steps, you just might have to work on one type longer then another. but to answer your direct question, Oak turns ok, it is fiberous so you will need to sand it more then softer woods, cherry turns very well, cedar is soft as butter when turning, but is also really brittle, and you will break it very easily if you are not carefull. Black walnut is super hard, but will produce some very good looking things, maple is pretty much in the middle when it comes to turning. red elm, is allot like cherry, sycamore is as well, cocobolo is very oily but turns really easy, it will chip and break though as it also is brittle. poplar is about as close to pine as you can get without being pine, and that is about it as far as what i have turned.
Here are a few links to sites that will provide you with many answers
http://www.woodturningonline.com/index.php
Great site that has many how to's, as well as projects, and plans for shaprening jigs.
http://woodcentral.com/
Under the articles category they have many how to's and plans for how to make many lathe accessories.
http://bobhamswwing.com/index_of_articles.htm
Another great website with nothing but projects, but he has good how to's and some videos
http://www.woodworkingonline.com/catego ... st/page/2/
a couple of very good videos on how to make a bowl and a pen, look at podcasts, #26 for the pen, & #7 for bowl
You will also i am sure find at least one or two of the other podcasts usefull, but not for turning.
And there is a great book that is for beginers, amazon has it for cheaper then anywhere else i have found, it is called Woodturning: Two books in one.
It has pretty much everything you need to get started, and it has how to go from a tree to a wood blank for whatever you want to make, as well as how to use the tools, and many projects you can do for practice.