Bright orange (my boots are black) Nylon parachute cord (or utility cord, from a camping goods store), a little larger diameter than the holes to make sure the lace won't slip back if I let go of it with my fingers. Easy on the fingers (because they are round, don't twist, and are as large as possible for the holes), and looks cool.
Comes in 25 or 50 foot lengths, certainly long enough for skates. I melt and roll the ends so they went through the holes easier, and don't fray.
I love it. But the right diameter depends on your hole size.