There are basically two 'common' types - steel and lead. Recently some plastic ones have been launched and reviews so far seem positive.
The 'copper ones' are steel, just coated with copper. I see no advantage in using those so I use just the steel ones. Some clubs don't allow steel BBs because of the danger of rebounds so at those you need to use lead BBs - safer. Lead is heavier than steel so POI with these is different to steels.
If you do go for lead don't 'overload' magazines as leads are easily 'squashed'. And avoid the Gamo ones too - inconsistent and known to cause jams in some guns. Spend xtra and get decent ones.
FAS 604, Remington 1911, Colt SAA, HW45, BSA Mercury, Winchester underlever (Walther), SMK QB78