Coils! Does the material used matter?
The core is very important in making a successful inductor, as a good core massively increases permeability (the ability for magnetic currents to flow effectively in the core - a lot like inverse electrical resistance (conductance.))  However, adding a core introduces a saturation characteristic; if the current approaches or exceeds the saturation point, the core will loose permeability and the inductor behaves more like a piece of wire. 

The actual wire is less important. Generally low resistance and high temperature resistance are desirable factors. Copper is good.