Does the wood have a varnish on it? If it does, you should use an adhesion primer after you sand it. If it doesn't, you should use something like KILZ or CoverStain as your primer. Never paint over a bare surface without using a primer first!
When I'm painting over varish or urethane, I always use XIM primer in high traffic areas to avoid getting nicks in the paint in the future. XIM can be difficult to use. If you don't care for the smell or are looking to use a latex primer, look for Brunning's "Grabber Plus". Grabber is easy to use and clean up aftern and it sticks like no other latex primer I've ever seen.