What wire should be used for modern thermostat
24VAC HVAC control circuits are a type of class 2 low voltage control circuit, and can use any cable suitable for that application.  This means that any UL listed type CL2 (optionally CL2R/CL2P) cable can be used, provided the wires inside are correct -- in practice, 18AWG is adequate.

As to how many wires to have in your cable, the correct answer is as many as possible -- big-box stores may only carry 5 or perhaps 8 wire thermostat cable, but you can get CL2 cables with more 18AWGs in them if you're willing to reach out beyond the big box.  Talk to your electrical supply house, or check electrical/electronic catalog suppliers, as both Carol/General Wire and Alpha Wire make CL2 cables with more wires still -- in fact, the Alpha Wire 881812 (CL2, 12wires/18AWG stranded) is available through Newark as a stock item (in 100' spools).