This heavily depends on what you want for looks and your application.
Copper is widely used. It is a soft, malleable material that is easy to work. It can also be soldered, which is great for awkward flashing conditions / locations. This allows for a more leak proof system.
Material such as zinc, lead coated copper and freedom gray share the same capabilities.
Aluminum is a soft material, easy to work with. It is available in colors and it is cheaper than copper for example. It also does not rust.
Galvanized steel kynar coated or Galvalume steel kynar coated are a more rigid material, not as easy to work with, but more rugged, capable
fighting the elements a
little better in some situations. This system eventually rusts, however, it should not before its expected lifetime, unless installed in environments not recommended,
such as near the ocean.