Materials
Aluminum
Aluminum is a good material for flashlights because it is strong, lightweight, conducts electricity, and transmits heat well.
Aircraft Grade Aluminum
Most flashlights that are made out of "Aircraft Grade Aluminum" are typically of the 6061-T6 alloy. This alloy is strong, hard, cheap, anodizable and weldable.
Aerospace Grade Aluminum
Flashlights that are made from "Aerospace Grade Aluminum" can be made from a wide range of alloys. Typically, these alloys are 2024-(T3 or T351), 7050-(T7451 or T6) and 7075-(T6/T651 or T7351), with 7075-T6 being the most common. These alloys are very strong and very hard. The 2024 alloys generally aren't anodizable or weldable. The 7050 and 7075 alloys generally are anodizable, but not weldable.
Anodizing
Anodizing is a process of oxidizing the the surface of aluminum (usually, for flashlights) to provide a surface that is more resistant to wear and corrosion, while also providing a better surface for coloring. Better flashlights feature Type III anodizing (also called hard anodizing, "HA," or kind of redundantly, "HA III") which provides a thicker, less porous coat of aluminum oxide that is more deeply embedded in the base aluminum than Type II anodizing (there is no such thing as HA II, all hard anodizing is Type III). The anodizing is done by using the aluminum as a positive electrode (anode) in a bath of sulfuric acid. As oxygen forms on the anode, a coating of hard aluminum oxide is formed on the surface. This coating increases the thickness of the aluminum and is integral with the aluminum itself and therefore is resistant to chipping or peeling. Coloring is added later (supposedly not many dyes can be used with HA III which is why flashlights are either natural or black, but HA III flashlights have been showing up in a lot of different colors lately). See Wikipedia Anodizing for more information as well at this CPF thread.
Anodizing does not conduct electricity, therefore parts of flashlights that must conduct from one piece to another will intentionally lack anodizing on threads or on the end of a tube in order to get metal-to-metal contact.
Stainless Steel
Stainless steel is harder than aluminum, but also much heavier. It is basically steel with a high (16%) chromium content. There are a variety of types of stainless steel with different surface treatments from matte to high gloss. It is not a coating, so it will not peel or flake off. Most types of stainless steel are not magnetic but some are, so a magnet test is not definitive. Stainless does not transmit heat as well aluminum and therefore is not as effective in carrying heat away from a LED. See Wikipedia for more information on stainless steel.
Titanium
Some flashlights are available in titanium alloy. These are usually the higher-end custom lights, but some production lights are now produced in Ti. Titanium can be polished to a very shiny finish; bead blasted, or anodized/heat treated for a variety of colors. Ti is more resistant to corrosion than stainless steel and is about half the weight.
Although Ti is heavier than aluminum, it is much stronger. Titanium is more expensive and harder to machine than Aluminum. Like stainless, it does not conduct heat as well as aluminum, and this fact must be addressed when engineering high-powered flashlights.
See Wikipedia for more information on titanium.