Media has always come with it. But if it doesn't, you can use polyester quilt batting. Big bag of cottony stuff used for stuffing pillows. Walmart.
The only media that is standard with these filters are a few one inch thick white filter pads. Until the vendor is advertizing more, assume you're get the standard pads and nothing else.
In a rough list of increasing prices: You can use lava rock and quilt batting if you want to DIY cheaply as possible. You can look in hardware stores for cut-to-fit airconditioning filters as source of coarse pads. Avoid filters with antimicrobial properities if you go that route. Some people use kitchen scrubbies as coarse pads, but I never tried that. You can buy cut-to-fit pad material at your LFS. You can buy ceramic noodles and bio-material under other brands (Fluval, Ehiem, etc.) at your LFS.