I thought the consensus at least among figure skaters was thin socks or tights - you want maximum control and feel, so thick spongy socks are not really going to help. I know some people who skate barefoot. It seems a bit extreme to me but if it doesn't give your feet problems and you don't sweat excessively then why not?
I don't use anything special - just regular cotton ankle socks, on the thin side. As someone says above you want a snug fit so there is no bunching - snug socks then snug skates so there is very little moving or rubbing inside the boot.