Philly cheesesteaks are generally made with
Amoroso rolls (or Sarcone's). To the best of my recollection, it's a fairly soft and dense roll. The density helps absorb the oil from the frying of the steak and keeps the sandwich in one piece. The crust is not crispy, but rather slightly chewy and a light golden brown in color. Aim for 6 or 12 inches per roll. Like I said, the roll itself should be fairly dense, but also a bit moist and spongy, for lack of better expression.
I have not been able to find anything quite like an Amoroso roll outside of Philly. They all end up being either too airy, or too dry and heavy. It's between a French baguette and those really light Italian rolls you find at the grocery. Remember, it has to be able to hold a large load of meat without coming apart.
Oh, and even though you didn't ask for it, for the meat, I think ribeye is the best choice (and what they serve at Pat's) with top round (Jim's cut of choice) in second, along with flank.