Newbie here, others please help Stan20 out.
I think Brass is most common, Nickel plated second, both are normally accepted/allowed to be used at a Range. Some ranges may not allow steel.
I heard that the Nickel has at least two advantages, one that it’s easier to see in low light or at night, in case of an emergency self-defense shooting/reloading situation, and
Secondly, they are smoother/easier to feed through and cycle in a semi auto gun, and easier to load and unload from a revolver’s cylinder because they have a smoother surface. I find the brass ones tend to collect a little too much dust from the spent rounds and are slower to pop out of the cylinder, especially when shooting a lot at the range, or God forbid you forgot to clean your gun.
I’m testing nickel plated ammo which are copper bullet instead of lead, to see if they are even cleaner and have the above qualities which I personally like. However, some others might prefer JHP which have a filling inside the tip to prevent clothing from an attacker getting clogged up in the bullet; Each responsible firearm guardian might have different personal preferences. However, I find most of the ones I like to be too high priced, and hard to find, especially in current market conditions.
I’m more of a copper than lead in my own preference of material: