Best resistors for use in phono stage?

Some like no added loading at all.  Jonathan Carr, the designer of Lyra cartridges advocates no added loading, provided that the downstream electronics can withstand the ultrasonic peak that will be passed through without overloading.  In that sense, the phono stage does matter.  That overload can also come from RFI that is picked up by the cartridge and the phono cabling.   A friend had a preamp that had a fairly bad problem with noise (not hum or powerline noise) which he asked me to help him alleviate.  I could tell that it was RFI being turned into audible noise.  When we checked the loading of the phono stage, it turned out that the manufacturer default setting was 100k (i.e., very little loading), and when we switched to 1k, the noise went away without much other change in the sound.

In your application, the loading resistor is acting as a voltage divider which, given its high resistance, mean that only a small portion of the signal is going through the resistor and being burned off as heat.  It is not a critical part whose quality will matter greatly.  Is it still worthwhile to seek the best?  Probably, because everything matters.  What is then, is the best?  That is harder to know because “best” is always a matter of specific application and personal taste.  I know a number of builders who dislike the sound of quite expensive Vishay resistors, finding them to be “dry” and lacking in harmonic richness.  I had a linestage, which I liked, that extensively used Vishays, so it is a matter of taste and application.  The company that consistently produces very good components—Audio Note—makes some pricey Tantalum and Niobium resisters that I would bet sound good if you don’t mind spending something like $40 per resistor.

What passes through the loading resister goes to ground.  The signal going to the rest of the phono stage does not pass through this resistor.  Can it still affect the sound?  I don’t know for certain, but, I suspect that it matters, but it is not as critical as other components more directly in the signal path.

For your purpose—cartridge loading, the lowest wattage resistor will be WAY more than you need because very little power is passing through it.  You can use the lowest rated resistor you can find.

I think you should also order a variety of other values, just to try different degrees of loading.  You could buy cheap resistors for the basic experiment before buying pricier models.  With some cartridges, there will be not much difference between 390 and 1000 or even 47,000 ohms--these all represent somewhat low amount of loading.  Resistors in the 125-150 ohm range and perhaps one with as low a value as 50 ohms would let you see what much more loading does to the sound (the lower the value the higher the loading).