I prefer steel for electric playing and brass for acoustic most of the time. The Jim Dunlop ceramic slides are OK soundwise, but they are big, feel sticky against the strings, are not always smooth, are clumsy and the internal dimensions are not consistent. I've two which are theoretically the same size but one is loose on my finger and the other is so tight it's difficult to remove. The big diameter also restricts what the other fingers can do.
In general, chromed steel slides are bright with good sustain, low friction and little string noise. Johnny Winter used chromed steel for electric playing.
Brass has low friction and good sustain, but a lot of string noise because the rougher surface scrapes on the unplayed strings. Brass has the dirtiest, roughest sound and the strings scratch it easily making it rougher still. Resonator and acoustic players often seem to like brass.
Glass is lightweight, but has less sustain. Low string noise but a surprising amount of friction against the strings, almost sticky in feel. Muddy Waters used a fairly short glass slide the couple of times I saw him (he also played in standard tuning, at least in later years, which is reputedly why Johnny Winter persuaded Muddy not to play slide on the LPs Winter produced - too many out of tune strings resonating away, though Muddy sounded really good live ). Duane Allman also used glass.
The weight of the slide makes less difference than you might expect, especially on electrics.
What does matter is fit. A slide that's loose on the finger is difficult to control, and a side with a large diameter is harder to position for correct intonation. Jim Dunlop's website has a sizing chart somewhere in the slides section which is very useful. Measure the diameter of whichever finger you put the slide on (I use my fourth finger) and look for the slide size closest to it plus a bit extra.
As for slide length, I prefer slides that cover all the strings. If you intend to play in standard tuning you might find a shorter slide better because it will create less of a problem with strings you don't want sounding being activated by the slide. Fender vintage 7.25" radius fingerboards generally are too curved to use a longer slide across all strings easily unless the action is very high. 9.5" is OK with a longer slide so long as the action is raised a little and the saddle heights are set so the strings are a little flatter across than the board radius. Gibson and other flatter fingerboards are fine for anything, but again the action might need lifting a little.
There are lots of expensive slides around with all kinds of variations in a plain tube, cut-outs, weighting at one end or the other, "signature" slides etc. Generally they aren't an improvement over a plain, ordinary Dunlop in my experience. The "signature" ones are like "signature" anything - they might be right for the famous individual who endorses them, but that doesn't mean they're any good for anyone else.
Slides are pretty cheap. I'd recommend getting a steel, a brass and a glass in suitable sizes and see which you prefer. Expect not to find your ideal slide at the first try. And when you do find it, get several because they may not be around in a few years time when you need a replacement.
And don't forget to consider string guages for slde playing - depending in tuning you might find you need to go up a guage or even more to prevent string buzz and fretting out problems.
Edited for typos.
post edited by tlw - 2015/12/07 09:05:35