The cable that comes out of the wall jack is a UTP (Unshielded Twisted Pair) Ethernet cable. It is most often black and has a plastic modular end that snaps into a matching port on your computer. To see what the connectors on a UTP cable look like, examine the wires on your digital desktop phone. If you have a single drop coming from a single jack, you will use a UTP cable.
Sometimes in dorm rooms where not enough ports are available, students are given transceivers to which several computers can be connected. The cables that come off transceivers are AUI (Auxiliary Unit Interface). These cables have a metal housing and either pins or holes at the end, depending on which end you look at. They look something like a serial or VGA cable you would find on a PC.