Just used plain coax of any type - RG58, RG-59, RG-6 or even a thin RG-174. The improvement vs. the internal antenna is so much that a little loss means nothing. If you're very picky, then you can add a BALUN between the antenna and the coax.
Just one word of caution. An extrenal antenna picks up a lot of signals, which some tuners cannot handle. This has to do with the design of the front-end circuit.
Many tuners are designed for maximum sensitivity, assuming a poor antenna. As a result, they may easily overload when connected to an external antenna. You will know it very quickly if you live close to a high-power FM transmitter...