First off, talk to someone at the core facility that runs the TEM. They will be able to give you the best advice. If you have to just choose a set up to troubleshoot, I'd go with a nickel grid with film.
It really depends on whether you are using LR White (or gold), HM20, Lowicryl, which are not stable in the beem then they must be coated with film. You can use copper grids if you are not staining with osmium (post-label), but they tend to oxidize. I recommend nickel coated 200 mesh or 2 x 1 mm nickel slots for labeling. Even with antigen retrieval techniques which use the beem stable epon, I use 200 mesh formvar coated grids.
what we use is nickel, or better, gilded copper grids. Copper gets oxidized, gold is very frail. Nickel is "jumping" due to static electricity and magnetism but if you have titanium tweezers it is OK. Always cover your grids with formvar or pioloform.
the need for film coating will depend on the mesh size of the grid you are using and section dimensions so that it does not bend around the grid. I would say that 100-200 mesh should use coating to support sections. For multi-cellular organisms, you probably want to use these kind of grids to get good images without the grid mesh blocking your specimen area of interest.
for immunogold labelling using the Tokuyasu method I generally use standard 100 mesh copper grids (for more visibility) coated with 1% pioloform and a thin (~2 nm) layer of carbon. Did work well for all I've done so far.
I would recommend the use of nickel grids for immunocytochemistry because copper grids can be oxidized by colloidal gold solution which is acidic. It is particularly important if you want to keep the grids for a while after immunolabeling before examining them under the electron microscope. The copper grid will turn green after being exposed to colloidal gold solution during the immunolabeling step. I always use formvar-coated nickel grids. Formvar-coated nickel grids with a very thin film of carbon is even better because the carbon film provides a very stable support for the specimen(s) during the labeling and washing steps. As suggested by others, 100-200 mesh grids should work well. Grids with a single slot in the center are also available. These grids have to be formvar-coated.