Context. Thorium hollow cathode lamps (HCLs) are used as frequency calibrators for many high resolution astronomical spectrographs, some of which aim for Doppler precision at the 1 m s-1 level. Aims: We aim to determine the most suitable combination of elements (Th or U, Ar or Ne) for wavelength calibration of astronomical spectrographs, to characterize differences between similar HCLs, and to provide a new U line list. Methods: We record high resolution spectra of different HCLs using a Fourier transform spectrograph: (i) U-Ne, U-Ar, Th-Ne, and Th-Ar lamps in the spectral range from 500 to 1000 nm and U-Ne and U-Ar from 1000 to 1700 nm; (ii) we systematically compare the number of emission lines and the line intensity ratio for a set of 12 U-Ne HCLs; and (iii) we record a master spectrum of U-Ne to create a new U line list. Results: Uranium lamps show more lines suitable for calibration than Th lamps from 500 to 1000 nm. The filling gas of the lamps significantly affects their performance because Ar and Ne lines contaminate different spectral regions. We find differences (up to 88%) in the line intensity of U lines in different lamps from the same batch. We find 8239 isolated lines between 500 and 1700 nm that we attribute to U, 3379 of which were not contained in earlier line lists. Conclusions: We suggest using a combination of U-Ne and U-Ar lamps to wavelength-calibrate astronomical spectrographs up to 1 μm. From 1 to 1.7 μm, U-Ne shows better properties. The differences in line strength between different HCLs underline the importance of characterizing HCLs in the laboratory. The new 3379 U lines can significantly improve the radial velocity precision of astronomical spectrographs. The line list is only available in electronic form at the CDS via anonymous ftp to http://cdsarc.u-strasbg.fr (ftp://130.79.128.5) or via http://cdsarc.u-strasbg.fr/viz-bin/qcat?J/A+A/618/A118