A good first place to go is
http://www.bladeforums.com/features/faqs.shtml to read the FAQ: Steel Types by Joe Talmadge.
There are two types of steel, high carbon and alloy. Real steel is iron and carbon. It is tough, takes a good edge, and holds it. There are different high carbon steels, some of which are better than others.
Alloy steels add other characteristics, mainly stainlessness. Since this interferes with much of steel's ability to sharpen up and endure impact, other elements are added in to make the now corrosion-resistant alloy steel to regain some of the abilities of the high carbon varieties.
As these steels become more complex, and the manufacturing process more expensive, the cost of the final product rises significantly. For the price of cleaning and occasionally oiling your blades, you can use high carbon steels instead of paying a premium for the latest and greatest alloys.
Fads in ceramic, cobalt, and titanium blades come and go. some of these are excellent for specialized purposes. But if it sounds too good to be believed ... don't
At least as important as the steel itself is the design and manufacturing process, especially the heat treatment, to get the best performance out of it, including the optimal hardness. Some steels will take a greater hardness (measured on the Rockwell scale) without losing toughness. Others, when hardened beyond reason, will become brittle.