Pretty much any metal other than aluminum will do.
If money is no object, go with brass.. it offers a good combination of easy soldering, mechanical strength, and corrosion resistance, to say nothing of its steampunk cred.
Copper is slightly less useful due to its greater heat conductivity. You end up having to heat the whole nail, and can end up burning the board around the point before you have enough solder on the head to hold a component.
Plain old iron works too, though you'll probably want to use plumber's flux (which contains zinc chloride) rather than rosin. It's harder to cut through the oxide layers on everyday chunks of metal than the ones you'll find on the traces of a PCB, so you need a more aggressive flux. ZnCl will eat through PCB traces at room temperature, given enough time, but you shouldn't have to worry about that if you're doing a traditional point-to-point breadboard circuit.
Set your iron to high (or use a blowtorch instead of an iron) and show us some pics when you're done!
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