I'm surprised someone hasn't jumped on this one.
Blades can be made of anything that will hold the blade shape and behave like you want. Hunters here have made them with just about everything.
Most (if not all) of the blades that are sold as a product are made of resin. Resin is good material to use but can be too brittle depending on which resin is used.
My personal blades and my masters are made of ABS plastic. I like working with it.
Hunters have also used aluminum(not recommended), Foamies, cardboard and wood.
If your making them, I'd say work with what your comfortable with and you'll be good.