I've seen guys use pretty much anything. Including using "bump caps" that fit inside a typical baseball cap. Constructions helmets are most common, followed by bicycle or other sporting goods and military helmets.

If you just need something to meet the rules, the cheapest construction hardhat you can get at your local hardware store is fine. If you actually want to protect yourself, I actually think something like a hocky helmet is best, as it's designed to take a hard hit from the side or rear, where construction helmets do nothing for a sideways hit, the're designed to stop falling objects only.