Well, lots of things have been tried, and used...
Brass was EXTREMELY common. Alcan still made brass shells up until a few years ago, and you can still get brass (and reloading gear) from a couple of sources, including Old Western Scrounger and Dixie.
Brass could be found in a couple of different compositions, both solid brass (as in a cartridge) or in a combination of a brass foil/paper sandwich that was wrapped and with the head riveted on to either an iron or a brass base. The primer cup actually served as the rivet.
Another early material was drawn copper.
Probably the most common material used up until post WW II was waxed paper. I've still got several boxes that my father bought years and years ago.
Aluminum was tried just after WW II, but wasn't very successful, and was never really introduced commercially. The US Air Force used aluminum-hulled .410s for their survival guns.
There were also a number of experiments with celluoids, bakelite (an early plastic), phenolic resins, rubber, and even collidon, but these were less than successful.