I don't have one single material preference. Each has their pros and cons. Many good choices as long as the material is body safe.
My single favorite plug is a wooden plug, the Nob Essence Romp. It just fits me perfectly!
I have more silicone plugs than any other material. So many sizes and shapes available and what's not to love about silicone.
I also have an ASSorttment of glass and stainless steel plugs. Smooth, solid and weighty. Very nice.
I also have a few hard plastic plugs and prostate toys that I am pleased with.