Carbon fiber, but I think it is also the most expensive one duo to the costly machining. Plastics and aluminium (anodized if want nicer surface) are options as well.
The typical part is extruded aluminium profiles because of their carrying payload to weight ratio. These also give you flexibility and modularity if it matters.
You might want to consider polycarbonate (aka Lexan), which is a shatter-proof plastic (not to be confused with Acrylic (aka Perspex)).
It is strong, tough, light, machinable, and can be any colour you like, including water-clear. It is also readily available, much cheaper and less hassle than carbon fibre, and is half the weight of aluminium.