For some of them the material is known.
3 Elven ones (source: Wiki, presumably from LOTR or Silmarillion but don't have orignal quotes):
Narya (Gandalf's ring) - unspecified metal, red stone.
Nenya (Galadriel's ring) - mithril, with white stone, presumably a diamond.
Vilya - gold, with a blue stone (presumably sapphire)
Since mithril was a superior metal to gold, and both the mightiest of Elven rings (Vilya) AND the One Ring were made (or looked to be made) of gold, your theory of The One's material being superior is not likely to be correct, sorry.
Please note that the Elven rings were special in many ways; both in that they were not made by Sauron, and their powers; but ALSO they were the only ones containing the stones - the rest were unadorned metal bands.
In addition, Nenya (Galadriel's ring) was the only one made of mithril.
7 Dwarven rings:
It is said that the foundation of each of the Seven Hoards of the Dwarf-kings of old was a golden ring. (Source: The Silmarillion)
This means that the 7 Dwarven rings were made of gold.
9 Men (Nazgûl) rings:
I wasn't able to find any reference to the material yet. However, the answers to this question (" Were there any differences between the Rings of power given to the Dwarves and the Men? " ) seem to have a consensus that there was no difference in technology between Dwarves' and Nazgûl rings, therefore, as per the last section, the Nazgûl ones were also made of gold.
As an aside, I will provide apocryphal information. From the oft-mentioned (by me) Kirill Yeskov's "The Last Ring-bearer" (which is an "Anti-Tolkien" story told from the point of view of survivors of Mordor defeat):
[Nazgûl speaking to protagonist] ... Our rings are made of inoceramium, the most rare noble metal, a third again as heavy as gold, can’t confuse it with anything else.
[And, in the appendix] The story of inoceramium that supposedly served to make the rings of the Nazgúl is much simpler, and the reason people don’t often see it is obvious. This metal of the platinum group is not just extremely rare in Arda’s crust (its clark is 4x108; compare gold at 5x107 or iridium at 1x107) - But also, unlike the other platinoids, it is never found scattered, but only in large nuggets.
You can figure out the probability of finding one such yourself. Actually, not too long ago a nugget weighing a fantastic 87 ounces had been found in Kigvali mines in South Harad; the headline in the local paper was "Find of the Century – Inoceramium Would Make Enough Rings for a Platoon of Nazgúl".
This metal has absolutely no unusual characteristics aside from its density (higher than osmium).