Funnily enough my favourite metal is Brass! Admittedly a bit messy, but cuts well, easy to get a good finish, fairly hard, and reasonably strong. Better in many ways than either Aluminium or Steel both of which have their own quirks! Brass, I think, is a good metal for beginners to try first. Unlikely to be very soft or very hard, or to be anti-social like that innocent looking work-hardening stainless steel.
But for real mess, cast-iron is surely the winner! Far worse than brass. Machines well, apart from when it comes with a glass hard skin, but cutting produces a fine black powder that goes absolutely everywhere, into slides, up your nose, and, floating in the air, all over the workshop. Last time I worked cast iron, I found black specs on the white goods in my kitchen, two closed doors away from the lathe. It's bad for precision machine surfaces too because it tends to stick to slides where it catches and holds grit to form an effective abrasive, multiplying wear. Takes a lot of cleaning too.
Dave