Darts are available in a variety of materials. The most common are brass, nickel, stainless steel, and Tungsten darts. Most beginners will use brass and nickel/ steel darts, generally due to price but also because the grips tend to be a fatter and easier to hold and throw when learning.
More skilled darts players tend to lean towards the tungsten darts as they have a narrower barrel. But the high density property of tungsten allows a variety of weights without compromising the thickness of the barrel.
Check out this articlefor ideas about getting the best dart for your throw.