All steel is iron with carbon added. So-called "stainless" steel also has chromium added, but with a few expensive exceptions, "stainless" steel isn't - rather it's stain resistant and it will eventually rust - just much more slowly than non-"stainless" steels. You may have heard the term "carbon" steel used to indicate steel that's not "stainless", but that's just jargon - all steel of any type starts out as iron with carbon added. Other elements such as vanadium, cobalt, copper, manganese, nickel, phosphorus, sulphur, tungsten, and many others can be added to get just the right "recipe" for the "perfect" knife steel.
Knife steels ideally have high levels of edge retention (they don't go dull fast), toughness (the ability to withstand chipping), stain resistance, and edge-taking (they re-sharpen easily.) However, these desirable characteristics have to be traded off with one another, and different steels to that in different ways. For example, edge retention implies hardness which can leads to brittleness and difficulty re-sharpening.
Inexpensive steels like AUS 6 and 440A are at the low end of modern "stainless" knife steels, but they are perfectly serviceable if you don't expect them to hold an edge too long. There are dozens of other steels in current use in mainstream manufactured knives, and you will see their names bantered around as if they possessed magic qualities. ATS-34 was the darling of the industry a few years ago but never fulfilled its performance promise. 440C and AUS 8 are mid-level steels today, and steels like S30V, 154CM, BG-42 and others are today's hot high-end "stainless" steels, and they are very good steels, indeed. In the non-"stainless" category are low-end steels like 1095 and high-end steels like D2, among many others. Some people like the performance of "carbon" steels over "stainless" steels. We like them both, and aren't too concerned about rust since we maintain our knives. If you don't, go with a "stainless" steel blade.
A new to the market (but not to the world) type of knife steels are the Crucible Particle Metallurgy (CPM) steels. Regular steel is formed by melting all of its metallic components in a big vat, pouring the fluid stew into ingots, and letting the ingots cool. These ingots are then later forged or rolled into bars. As these steels cool, the steel takes on a granular character of some average grain size, and the alloying elements segregate into particular grains called carbides. CPM steels, by contrast, are formed by molten steel being forced through a nozzle to create very uniform droplets of steel which solidify in to a fine powder, which is then formed into bars of steel under high pressure. CPM steels thus have a very fine granular structure and very fine carbides, meaning that they are more uniform, can take a finer edge, and take a smoother edge (see the sharpening section in Part 2.) CPM steels are high-end steels.
Steel has to be heat-treated after it's shaped, and a proper heat treatment is essential to good performance. Many el-cheapo knives you find on the market not only use el-cheapo steel, but that steel is most likely not properly heat-treated, if it's heat-treated at all.
Steel has to be hardened, too. Hardness is measured on the Rockwell scale, and utility knifes such as we use will usually have a "Rc" measurement of 58 to 62 for "stainless" steels and a little less for non-"stainless" steels.) Harder than that and the knife is all but impossible to sharpen. Softer than that and it won't hold an edge long.
We tell you all this stuff about steels so you'll have some understanding of the terms you hear bantered about. But the bottom line is that any and all of the steels used by the major manufacturers these days will be quite serviceable, with differential quality being generally related to price. Depending on how you use your knife and how attuned to it you are, you may not notice any real differences in knife steel if you sharpen your knife regularly.
Finally, other exotic materials such as ceramics, titanium, or cast metals can be used for knife blades, but they are specialty items, and normally should be avoided for general purpose LE work.
Comfort and fit
The most important thing about a knife - assuming we are talking about a quality knife - is the way it fits your hand. When choosing among good quality knives, use this criteria first. My personal favorite knife from every manufacturer is one of their less expensive ones. Yes, they make better knives - and I can actually appreciate the difference - but the ones I prefer fit my hand better and are more comfortable to carry than the more expensive knives that they offer.