Most nails are made of steel. Aluminum, copper, brass, bronze, stainless steel, nickel silver, monel, zinc, and iron are also used. Galvanized nails are coated with zinc to give them added corrosion resistance. Blued steel nails are subjected to a flame to give them a bluish oxide finish that provides a certain amount of corrosion resistance. So-called cement-coated nails are actually coated with a plastic resin to improve their grip. Some brads are given a colored enamel coating to blend in with the color of the material they are fastening.
Source: http://www.madehow.com/Volume-2/Nail.html