There are two common choices for the wood used for your hive - pine or cedar. Pine is the traditional choice. It is strong, offers reasonable longevity and is a proven option. To extend that longevity, it is quite common to paint pine hives before they are installed in place. That gives you some nice choices as to the aesthetics but also means you need to wait a little longer (and do some work) when your hive arrives.
Cedar is an upgrade, of sorts. Compared to pine, it is lighter (think about the weight of honey and add the weight of the box), stronger and lasts longer. Although not necessary, many coat with a little pure tung oil, which offers a little extra protection and brings out the beautiful rich colors of the cedar. But that is not essential and a cedar beehive can be put directly into service, with no painting necessary.
Although somewhat subjective, most consider cedar to be aesthetically more pleasing than pine.