Afraid like most things you get what you pay for in abrasives, just need to find the retail source that gives you best deal.
Brand and Type are very much a personal preference, and I have found that there is no one Best Answer on type or brand for that matter.
Some tasks, woods etc. just seem to ask for a differing solution so I tend to pick up a Type of Abrasive that seems most appropriate.
For me personally I would list them as:-
The best Brand of abrasives I have are the Red Rhino Brand marketed by Hope Tools, Sharp and long lasting.
The White Rhino marketed by Richard Findley is also very good, subtle difference in increased flexibility, cut life?
Both not cheap options.
The Brands marketed by Chestnuts cut well but I personally find the Velcro backed does not hold its grit quite so well (less robust) but this is not necessarily a bad thing as it encourages using fresh sharp abrasive and is competitive cost wise so no difference in the end.
Mesh abrasives tend to be very effective, I find that there is a subtle difference in brands regarding flexibility and sharpness of cut, Personal choice is Chestnuts Net abrasive and not just because Chestnut Brands are my stable go to's.
Now for your need for finer abrasives, what specifically are you wanting to sand to a high gloss, if it is man made pen blanks or average wood blank bowls, platters, spindles etc.
For most wood types there is little to be gained by 'polishing' the wood surface before applying the finish, in fact it can have an adverse effect on the absorption and bonding of any protective finish you apply.
As long as you use rotary sanding where possible to avoid long peripheral scratches and finish sanding with the grain of the wood where possible it is rarely necessary to go below 240, 320 grit at the most, before applying a sealer/filler or oil.
Keep the final Gloss Burnishing to the surface of the protective finish.
See this short video example
