Klingspor Gold is what I use, but it only goes up to 400 grit. I didn't think there was any other kind of sandpaper out there for wood turning. ;D (I have not ever held one).
I think finish it off with steel wool.
Very rarely am I working on something where I feel the need to go past 400. My calls are made to be used, not put on a shelf (though sometimes, I understand that does not happen).
When I go past 400, I've just used the sanding pads that HUT has. I like them, and I don't use them often.
Parker