As far as the wine goes, I like to use this one:
It's pretty widely available and should run you roughly $10 for the bottle. Naturally you can use any wine you like, but that's the one I like to use. I suggest going with a dry wine and I buy one more bottle than I think I'm going to need. That way if I wind up making it to sweet, I can always add more wine to balance it out.
I always use fresh fruit, but that's mostly because I only make sangria in the summer when fresh fruits are cheaper and more widely available. I don't see anything wrong with using frozen, but if I were to use frozen, I would extend the time I allowed for all the flavors to mellow before I served it. So if you are making and serving it the same day, you might want to use fresh, but if you're letting it sit overnight, frozen should be fine. The fruits I have used are peaches, apples, oranges, cherries, and pineapple. I have used other fruits including various melon, but I personally prefer to use the ones previously mentioned. I cut the fruits into bite sized chunks and I include two or three skewered with a toothpick when serving. Whatever fruit you use, I would try to stick to one or two.
For each bottle of wine, I use one can of Kern's nectar. They have several different flavors and they are widely available in most grocery stores so you generally can match up the nectar to whatever fruit you are using. If you like sweet or not so sweet, you can always use more or less or you can use less nectar. Some people sweeten more with a cordial or liqueur. I have personally never used either, however I have a bottle of Creme de Mure blackberry liqueur that I'm going to experiment with this 4th. I think Creme de Cassis might be a good choice also. I like Lejay-Lagoute liqueurs. They are good quality, reasonably priced and quite often I can find them in the bargain/closeout bin at the liquor store.