Wolfie,
When I started out I scrounged lots of bits of scrap, mostly steel, but the majority of it was rather horrible stringy stuff. It may be I could have found a way to treat it but I was too ignorant to know how.
After a while I got introduced to decent free-cutting mild steel, leaded EN1A. It turns beautifully, can give a mirror finish, and has perfectly adequate strength for almost every purpose an amateur engineer is likely to need. Its only disadvantage is that it is unsuitable for welding or case hardening, but as a relative beginner (which I assume you are) you are unlikely to do that for a while.
I soon realised that the most precious investment I was making was my time, and it was counter-productive to spend many hours making some piece of precision equipment out of a piece of poor steel from a scrap bin. My advice to you is to buy a selection of EN1A (I think its modern designation is 220M07) or, if you can find it, the leaded version of the same, and use that for your learning. When you get a little more experienced you will find a range of other steels which are rather better for some special purposes. Some are good for welding, some have enough carbon in them to be hardened, some are like EN1A but a bit stronger. One of my favourites for real strength and toughness is EN24T, an alloy steel which has a UTS of 2-3 times that of EN1A but turns reasonably well. A reputable supplier will always be able to tell you the precise grade of steel you are buying.
I would also be careful of scrap cast iron, a lot of it has a very hard skin and will emasculate even a carbide tip pretty quickly, and they also often contain hard spots and voids. Decent continuous-cast grey iron costs a little more but is vastly superior. Aluminium alloys are also very variable, some are soft as butter and some as hard as steel, but if you find any it’s worth trying it (but beware of alloys containing magniesium, they can be inflammable). For more expensive metals like brass, there is perhaps more sense in saving any piece you get your hands on, you can always try it and see how it goes, most grades turn OK to very well.
One final piece of advice, always mark the grade of each purchase and don’t get them mixed up – advice I haven’t always followed myself, but regretted the fact.
Hope this helps,
David