Steel is heavier than aluminum, but not as heavy as iron. Steel-framed furniture is less expensive but may rust and need paint touchups. Iron is the heaviest of all metal furniture and certainly won't blow away. Iron frames will require cushions for comfort, however. And wrought iron may rust and need occasional paint touchups.
Wicker is perfect for sunrooms or covered porches.
Look for a baked-on paint finish in quality wicker sets. Wicker works best with cushions. Wood is the other natural option. Moderately priced, it may need painting or treating as years go by. Plastic is inexpensive, lightweight, easy to clean, and durable.