When marble is highly polished, it won't absorb any of the liquid, which is important to avoid a reusable ice cube attracting bacteria or mold. You'll often see these advertised as whiskey stones, and they are most often made out of different types of marble. Stainless steel ice cubes also tend to be a bit smaller because of that effect, making more space in your glass for a drink.
I'll get into the details of how different types compare for the cooling effect shortly, but steel is highly conductive, so they freeze fast and then cool down your drinks fast as well. These are small solid blocks of stainless steel, and they are possibly one of the coolest looking and most effective ones you can buy. Here are the main types of reusable ice cubes with some information on whether I would recommend them.