The most important component of a bicycle is the frame. You can always upgrade the other parts later, but a big, heavy frame is always a big, heavy frame. A bike's frame material influences how much it costs, weighs, and how it handles. The least expensive bikes use hi-tensile steel. The most expensive frames are made from even more exotic chromoly with added ingredients for specific characteristics, butted aluminum, carbon fiber, or titanium.
Steel is still the most commonly used metal in bike frame construction.
Chromo, as it's sometimes called, is lighter and more responsive than hi-tensile steel. Hi-tensile steel frames are very durable and fairly responsive, but are relatively much heavier than a butted chromoly frame. Brand names you may see include Tange, True Temper, and Columbus. Over the last several years aluminum has grown in popularity and gone down in price as a material for bike frames. The material makes for a rigid, responsive bike.