In order of quality/effectiveness (and price) they are:
1. Tungsten - great but pricey
2. Bismuth - good. A little expensive, but less than tungsten.
3. Steel - serviceable, but not the best, especially in a small gauge gun.
If you're shooting ducks at 20-30 yards, steel will kill them. Due to cost, I've never shot anything but steel except the few times I wanted to kill one with my .410. Then I've used tungsten.
If you expect a fair amout of shooting, I would use steel 4 shot. A 3/4 oz load will give you roughly 140 pellets, which is enough. But range will be limited because 4 shot is small for steel.
If you just plan to shoot a handful of times, I would go with bismuth 5s or 6s. 1 oz of 5s will give you just over 200 pellets. In terms of range and effectiveness, bismuth is about like shooting lead.
With tungsten, a 28 gauge will out perform a 12 gauge loaded with steel. But for me, the cost of tungsten ($35-$40 / box) would be too high for shooting woodies.