Of the new "wonder steels", I personally prefer S30V, VG10, and CPM154. But on the other hand, it's hard to beat 1095 as another poster said.

As with most things, you get what you pay for. Don't expect to pay $15 for a truly good pocket knife. Although there are decent knives to be had for that price range.

For modern type knives I like Kershaw, Spyderco, and Benchmade (stick to Blue or Black class). For a traditional slipjoint type knife, I've heard a lot of good things about Great Eastern Cutlery. Their blades are 1095 and have a good reputation. I don't have one of these yet, but am planning on getting one in the near future.

Some good sites for buying knives are:
Grand Prarie Knives
Knife Center
Knives Ship Free
New Graham Knives