I picked the 10 Gal. Rubbermaid cylindrical cooler up at HD for $37.96 +tax, right at $40 total. It's well insulated, the hardware conversion kit from Bargain Fittings went right in, it doesn't leak, and there are large numbers of homebrewers out there using this particular MLT conversion, so that it provides me with a valuable information resource.
I rejected the cheaper "Ice Cube" type of coolers. All the ones in the stores around here don't seem to have any insulation, nor do they have a drain. I know some guys inject that "Good Stuff" insulation into them, and drill their own holes for the manifold / valve, but that extra work and uncertainty wasn't worth it.....I just bought the Rubbermaid.
As far as what shape makes the best MLT- after reading a whole lot of basically contradictory stuff on several forums, including plenty of anecdotal stuff that people were making great beer with ALL the different shapes -cylinders, cubes, rectangles, zododecahedrons, etc.- I concluded it doesn't matter.
Size may matter. There is some evidence that if you mash too small a volume in a given cooler that you may experience excessive heat loss during a 60 minute mash. I have no personal experience that would confirm that, however.