What kinds of materials can be worked with on machine tools?
Aluminum, brass, and steel are traditionally the most commonly machined metals. Machine tools can cut anything from 'exotic' hard metals such as titanium and stainless steel to plastics, and even wood. (Even small equipment like Sherline tools will cut all of these, and more.)
Aluminum generally is the most commonly machined metal. It's very easy to work with, and is relatively cheap, easy to find, lightweight, and corrosion resistant as well. Many machinists always choose to work with aluminum first, unless it's unsuitable for a particular application. 'Aircraft alloys' such as 6061 and 2024 are excellent for machining use.
Steel is often used when a stronger (or heavier) material than aluminum is needed. It is more difficult to machine, requiring more time (and patience). Commonly used varieties are cold rolled steel (CRS), hot rolled steel (HRS), and mild steel. Tool alloys such as drill rod can also be cut on machine tools, and then hardened to make cutting tools, such as drill bits, end mills, and lathe cutting bits.
Plastics are the easiest materials to machine. Commonly used varieties are nylon, delrin, and teflon. Acrylic and even styrene can also be cut on machine tools, but great care must be taken such that these plastics don't overheat and melt while being cut.