Original DMX spec was a 5-pin XLR, with 4 & 5 reserved for future use. Since most of the major players in the US were using 3-pin connectors for their own protocol (LWR, Martin, etc) they more or less made a 3-pin the de-facto standard. It took a while, but almost all the old protocols died out, leaving the 3-pin still standing. You still see both 3- and 5-pin connectors in use. Either works exactly the same, pin-for-pin.
Again, original spec called for the Belden or equivalent braided shield cable. Most users opt for regular mic cables (off-the-shelf) or roll their own. We rarely use anything fancy, and I can recall only 1 instance where we had a problem; it was also an installation that had major issued with almost anything to do with cables, and there were several defective fixtures involved as well. Since none of the cables provided with the fixtures by the manufacturers are braided shiled or anything other than cheap 22g spiral wrap PVC cable, I'm content to use what works. YMMV, of course.
I am surprised at how few people install a terminator on the end of the chain. Of course, I'm also surprised at how often the system works quite well wihtout it. Go figure.
If you want to be as correct as possible, use the Belden cable.