what type of metal to use for wieght training bench?

As a former weight trainer and very small-time metal worker, I'd hazard a guess at 16-guage 2" square tube, and braze the joints.

If you look in the yellow pages under metals, you may find a steel supplier. Most companies will deliver if you pay them (same as the DIY stiores)

I'm not really an expert so hopefully someone else here is.

Frank

2" square is huge. 2" x 1" is plenty, or even 1" square. Use the thicker wall stuff if you're going to rest bolts on it..

Ideally you should ream it, but be careful with accurate drilling. it is worth drilling undersize, then clamping both together and drilling to size in one pass.

Use the right bolts - plain shanks of the right length. If you take the weight on the threaded portion, particularly a cyclic load, then you'll get fretting motion and the joint will work loose. Use washers and nyloc nuts.

You might even favour clevis pins and R pins, if you want to make it easily dismantlable without tools.

Should weld easily enough - it's one of the few DIY tasks I can imagine where a stick welder would be useful, not just a MIG.

Personally I'd MIG weld the frame into flat panels, then bolt or pin the rest. Even a large flat panel is easier to store or move than a small 3D object.

Yellow pages - anyone local ought to do it. Steel stockists are generally helpful about small quantities of common materials, so long as you either collect or can wait some days until the truck is in your area.

Depends on your level of lifting. I was a serious powerlifter, and I would not build a bench with less than 1/8" wall 2" x 2" tube.

For an average weight bench, 1/16" wall 2" x 2" tube would be fine.