Because I paint mostly evil races, most of my figures are primed with a black undercoat. My favorite brand is Krylon Ultra Flat Black. For individual models like leaders and standard bearers or light races like elves and humans, you should use a white undercoat. A white undercoat will be easier to paint light colors on top of and most colors will be a lot brighter when the figure is finished. I like to use Krylon Flat White.
However don't be afraid to be adventurous with primer. There's no reason that you can't prime a regiment of beastmen, for example, brown then drybrush right on top of it. The key is to find a color that works the best for your army. If it works, use it.
I prefer to prime my figures before I glue them into bases because it makes them easier to prime. Find some newspaper and a spot outside where you'll have plenty of room. Lay your newspaper on the ground and set something on the corners so that the edges don't blow onto the figures.
Take your miniatures and lay them out in rows on their backs with all the feet facing in the same direction. After they're laid out, shake your can of primer thoroughly, then, holding the can about 12 inches (30 cm) away, give the first row a good steady pass. This will take some practice. You don't want to move over the row too quickly because you'll miss spots yet moving too slowly will cause over spraying. Move faster at first then slow down until you're comfortable.
After you're finished with the first row (you should still be painting only in the direction of the feet), move on to the next and so on. When you've finished with the bottoms of the miniatures, move to one side or the other so that you're spraying the side of each miniature. Prime that side, move to the tops of the miniature (all heads should be pointing at you now), repeat, then finish with the remaining side.
At this point, take a break because it will take a couple of minutes for the primer to dry. When it is dry, flip each miniature over and repeat the whole process.
IMPORTANT: Weather is a consideration. I've found that my primer works best when the weather is fairly warm outside. When it's cold, the primer sometimes runs and doesn't dry as fast.