The number one rule about wiring is "the thicker it is, the better".
The number two rule is "never use solid-core cable in a vehicle." It will fracture under conditions of vibration. Always use multiple core (stranded) cable.
You can figure out the minimum thickness fairly easily by knowing how much current is likely to flow and looking up wire rating in tables.
For example, consider an Amp rated at 500 Watts RMS. Assume it's 80% efficient - that means it will use about 630 Watts of which 130 goes away as wasted heat.
The equation I showed you on a previous page can be used to work out the current flowing into the Amp.
Watts = Volts x Amps
630 = 12.5 x A
So A = 630/12.5
A = 50.4 Amps - call it 50 Amps to make it easier.
So, your cable will need to be rated at 50 Amps *minimum*. Better still, use two cables side by side, each rated at, say, 30 Amps. This cable is easier to obtain and it's more flexible so you can bend it around corners.
The cables should be connected to each other and the battery end should go via a fuse to the battery "+" terminal. This fuse is there to prevent a fire, in the event that the cable gets shorted to chassis. Don't say it won't happen! All you need is a low-speed collision and a sharp piece of metal could dig into the cable insulation. Then you'll have meltdown.
So this safety fuse should be rated at MORE than the Amp will ever require but LESS than the burn-out current of the cable. In this example, a good choice would be a 60 Amp fuse connected either directly to the battery terminal or as close as possible to it.
This is not an optional extra! It's for your own safety. It could save your life. Burning cables and petrol make for a very nasty accident.
Don't run the cable around the front of the engine compartment. This is the most vulnerable part of the car in a collision. Run it around the rear and around the side only if you have to. Keep it clear of sharp edges and hot components (engine, exhaust, pipes etc.) Secure it every few centimetres, otherwise vibration could chafe the insulation.
Your Amp will have its own fuse. Make sure it's the correct one. It is intended to melt if the Amp draws too much current.
Loudspeaker connections can be made with lower rated cable, since the power is shared amongst them. Forget about "oxygen-free" bullshit wire. You are just paying for the name. The only way you'll get "oxygen free" cable is to manufacture it in a vacuum then seal the ends. But, wait a minute! If the ends are sealed to keep the oxygen out, how the heck are you gonna connect it? See what I mean about bullshit? And what's the oxygen gonna do, anyway. You breathe the stuff don't you?