Generally, cables deemed appropriate for RS-485 transmission are suitable for DMX-512. The cable should be a screened, twisted pair (or two pair) with an impedence of 120 ohms. Suitable cables include:
Cat 5/6/7 cable - commonly used in the telecomms industry - is approved for use with DMX-512 under the ANSI standard, though it is generally recommended that this should be a shielded version.
Generally, wholesalers will carry a Belden equivalent which is often availavle in exterior and duct grades.
The original DMX-512 standard specified the use of a five pin XLR style connector, using the following pin configuration:
Pin 1 - Signal Common 
Pin 2 - Data 1 - 
Pin 3 - Data 1 + 
Pin 4 - Data 2 - 
Pin 5 - Data 2 +
A 2008 revision also allowed for the use of 8P8C eight pin modular connectors (RJ45) where regular connection and disconnection is not needed:
Pin 1 - Data 1 + 
Pin 2 - Data 1 - 
Pin 3 - Data 2 + 
Pin 4 - Not Assigned 
Pin 5 - Not Assigned 
Pin 6 - Data 2 - 
Pin 7 - Signal Common 1 
Pin 8 - Signal Common 2
The use of 3 pin XLR connectors is technically prohibited by ANSI E1.11 - 2008, however many manufacturers have adopted the connector using the following pin configuration:
Pin 1 - Signal Common 
Pin 2 - Data - 
Pin 3 - Data +
Although these configurations are now standard, some manufacturers have used alternative pin configurations, so care should always be taken when connecting new equipment.