There are basically 4 major options for you to choose from. Pressure treated lumber, Cedar/Redwood, composite/plastic, and tropical hardwoods. Each has their pros and cons.
Pressure treated lumber is the least expensive option. It's readily available and easy to work with. Most pressure treated decking is southern yellow pine. It is chemically treated to resist fungus, rot and bugs. On the down side, it has a tendency to crack, split and warp. You need to do power washing every year and apply stain or wood preservative every 2-3 years. The chemicals used to treat the lumber are safer now then those used even as recently as 2003, although still chemical in nature.
Cedar and Redwood are beautiful options. Both are naturally resistant to rot, decay and insects. You need to pay attention to where in the tree the wood comes from though. Heartwood is the most resistant and the highest priced. Cedar and Redwood require annual power washing and the application of a preservative/stain every 3-4 years.
Tropical hardwoods such as Ipe and Tigerwood are beautiful, very dense, durable and rot/insect resistant. Because they are so hard, they are harder to handle and install. You can make sure they were responsibly harvested by ensuring the wood is certified by the Forest Stewardship Council.
Most composite decking is made from wood and recycled plastics. All plastic boards are made from plastic only with no wood used. There are a large range of colors and finishes to choose from. These products are resistant to staining, rot, and splitting/cracking. There will never be any sanding, refinishing, staining or preservatives necessary. Regular washing is prudent since mold and mildew can accumulate in dark areas. Composites can eventually show some signs of decay since they are partially wood.