When buying a new set of fire poi it can seem difficult because there are so many options I would recommend buying the leash and the fire poi head separately. Over the years I have changed my fire poi set up so many times; but now I feel that the set up I use is really good and I recommend it.
I use homeofpoi to buy my fire poi from; the quality of the goods is to me second to none.
The leash or chain I uses is the pro chain set up. I have a set with single finger loops and a set with silicone handles the single loops are really good for most people and unless you plan on doing a lot throws (which I do) I would recommend going for the single loops
As for the fire heads I have recently up graded mine to twista wicks which are very expensive but the burn time is amazing and I love them they are an investment for sure but they will have a much longer life span than a cheaper head. However before I started to use twista wicks I used monkey fists. Homeofpoi sell a set of poi which they sell with pro chain and twista poi heads which I think are reasonable afford for a fantastic set up.
It may seem that buying a set of fire poi is expensive and you could buy a set for cheaper than these recommendations but the longevity of the pro chain is very good I have had mine for a long time and they are still as good as new. You will also want a poi head which will last as well.
I hope this helps you in your purchasing process.