If you've only a few workpieces to do on it, alli's probably the easiest and cheapest. It's also relatively sticky, so generally provides good friction to drive the work. Brass is also easy to machine but is dearer and generally has a slicker surface, so it may need more tightening to give a good drive.
Steel's probably the one to use if there are a lot of wooden workpieces to do.
Whichever you use, the expansion will be local to the cone, so it will generally work best on short bores – or longer ones with reasonably close limits – or there'll be risk of yaw. If the wall is thin, there can of course be risk of cracking the piece on tightening.