Brass is the most popular option. It's durable and easy to cast, and companies offer a wide variety of models and finishes. Some have sprayer heads made of plastic, so they weigh less and stay cool to the touch (not to mention they're cheaper to make); other parts might be made of zinc. Do your research so that you know what you're buying.
Stainless steel is another good, though expensive, choice. Not to be confused with stainless-steel finishes applied over brass, solid stainless-steel faucets don't need a separate finish. Some companies apply a clear protective coating to resist water spots and fingerprints.
Plastic or zinc faucets are the least durable of the bunch. From the outside, they may look no different from brass faucets. The best way to tell them apart is to pick them up; plastic and zinc are light, while brass has serious heft.