I use disposable water for injection ampules (10 ml available from pharmacies) If kept covered they can be used several times. Always use nuclease free sterile filter tips. With larger (100-1L) volumes of nuclease free water, make sure you aliquot them into nuclease free tubes using nuclease free disposable (eg tissue culture) pipettes. Use these as your working stock.
I agree with Nadine. Usually, autoclaved, deionized water is fine for PCR.
(EDIT: This is particularly valid for preparative PCR, e.g. for cloning purposes. For analytical PCR more caution might be necessary.)
I would only buy nuclease-free water if I face substantial problems with PCR. In my opinion the use of commercially available nuclease free water is to expansive and unneccessary in routine application.
The water should be nucleases free, free of any organism contamination (better a Millipore MilliQ Water) and autoclaved before used. As already mentioned by Dr. Teo, disposable water for injection ampules can also be used.
I do not disagree with Helge regarding bought in nuclease free water - hugely expensive for what it is. For RT-PCR a good source of nuclease free, nucleic acid free water is a good idea. Re deionised autoclaved water - fine if you have a dedicated autoclave specifically for those purposes. It does not get rid of RNases. Some labs, however, have a large centralised autoclave which is used for autoclaving bacterial media (yeast extract), autoclaving water/ PBS and also disposing of bacterial waste (plates / culture ) animal tissue etc. Not such a good idea if you are going to do PCR to detect bacterial pathogens. We once had an issue of LPS contamination which was resolved by using/getting a separate "No-biological" autoclave. What is true for LPS is probably true for DNA.
A 96 well real-time RT-PCR plate can costs up to Eu200 to prepare and run. A couple of disposable 10ml water ampules (enough for 1000 PCRs ) may cost a couple of Eu.
That is absolutely right. For RT-PCR buying nuclease free water does not make a big difference in the total cost. And in most of the RT-PCR kits, nuclease free water is included anyways. For working with RNA, I also have good experience with DEPC-treated, autoclaved water. This is a very cost effective way to get rid of RNases if you need large amounts of RNase-free water.