The material a fastener is made of determines the best place to use them.
Zinc is used for mostly interior applications where the fastener won't be exposed to the elements outdoors where corrosion might happen. Is a low-cost fastener option
Vinyl Coated fasteners are typically nails only, and the vinyl coating helps the nails drive more smoothly into wood or other materials. Vinyl Coated products should only be used in projects that are indoors or not exposed to the weather.
Brass fasteners are mostly used for aesthetics where the color is more optimal for the project. As with zinc, they should be used only in applications that are not exposed to the weather
Black Phosphate fasteners are primarily used for drywall applications. The phosphate coating helps provide rust resistance and is an easy coating to paint over.
Galvanized fasteners are the primary product of choice for exterior applications where the fastener will be exposed to the elements. The galvanized coating helps protect from corrosion and degradation. The trade off is that they can be more expensive than standard zinc and can discolor the wood around the nail head over time. Galvanized is still not recommended for use around salt-water applications (even where the only exposure is salt-water mist).
Stainless Steel fasteners are often regarded as the most corrosion-resistant type of fastener. They are the only approved fastener for applications near salt-water. The downside to stainless steel is that it is a soft metal and very expensive relative to the other fastener types.