Wizards have proficiency with daggers, darts, slings, quarterstaffs and light crossbows. However, they're not particularly astute shoppers, so they only have the choice of a quarterstaff or a dagger if you're following the standard rules for building your character. If you're rolling for gold, you can of course arm yourself with one of the other choices. But don't. Unless you like wasting your money.
Your choices for how you should arm your wizard are limited if you're picking from the class options. Dagger or quarterstaff isn't an overwhelmingly awesome choice when it comes to weapons, but that's OK, because you shouldn't really be attacking people in melee anyway. Daggers have a fringe benefit over quarterstaffs - you can use Dex when wielding them as they are finesse weapons. This is most likely a stat you've already been sinking points into to help protect yourself. Honestly, though, if you have to use your dagger, things are bad, and you should consider disengaging and running instead of attacking.
If you're buying equipment or picking it up after the start of the game, you can make use of a light crossbow if needed but it can't be hammered home enough just how much better your cantrips will be than firing one of these things in the long run.
Honestly, the most important pieces of equipment that you'll get for your class are your spellbook and your arcane focus / component pouch. Hold on to those things tightly, as they're the key to your success and can cause you major arse ache if you are parted from them.