It seems quite unusual. Perhaps it is some kind of a ferromagnetic material?
The answer is in Deathly Hallows Chapter 34 (emphasis mine):
He pressed the golden metal to his lips and whispered, ‘I am about to die.’
The metal shell broke open. […]
The black stone with its jagged crack running down the center sat in the two halves of the Snitch.
Thus, the snitch is made of a metal shell. This doesn't tell what metal, so it could still be gold or some cheaper metal.
Kudos to DVK for mentioning the Snitch with the stone inside, which made me look this up.
Previous speculation, from before I found the definitive quote.
The Wizard of the Month page of the old J. K. Rowling homepage claims the Golden Snitch was developed by Bowman Wright who lived from 1492 to 1560. This limits the material to something that was already available in 1560.
The Snitch thus can't use plastics or rubber, nor aluminium. (That's assuming Wizards have not found a way to produce such materials before Muggles have.) The most likely materials are thus the following.
- Some metal or metalic alloy, such as iron, bronze, brass, or even gold etc.
- Leather or some kind of textile.
- Some crystal,
possibly a valuable gem.
- Wood or cork.
The Snitch could possibly have multiple layers, such as an inner hard core (glass, crystal) covered by a shell (metal or leather) like some jewelery; or a flexible outer shell (leather or textile) filled with some soft filling like some playing balls. Even if it's made of only one material, it could be hollow (gold) or solid (wood or crystal).
However, Deathly Hallows refers to the Ministry trying to “break open” the snitch, as opposed to “cut open”, so a hard material is more likely than a leather ball with filling. Further, the Ministry was desperately trying to find out what was in the Snitch, so if the shell was made of a soft material, they could have just made an X-ray photograph. Thus, a metal shell seems more likely.
Philosopher's Stone claims the Golden Snitch is walnut-sized, so real Snitches could have the body made of gold without it being very heavy. If it's really gold, that would make the Golden Snitch very expensive, so presumably there would be cheap replicas made of other metals with gold painting. I think we can also exclude precious gems: if the Snitch had a horribly expensive walnut-sized dilithium gemstone as its core, would you call it “Golden Snitch” instead of “Ditlithium Snitch”?
There is no specific details on what the material is other than it was likely a metal (as it was invented and first made by a metal-charmer).
The invention of the Golden Snitch is credited to the wizard Bowman Wright of Godric's Hollow. While Quidditch teams all over the country tried to find bird substitutes for the Snidget, Wright, who was a skilled metal-charmer, set himself to the task of creating a ball that mimicked the behaviour and flight patterns of the Snidget. - "Quidditch Through the Ages"
Please note that "Golden" is not entirely accurate - QTTA also mentions in the same quote "silvery wings", so the coloration was not uniformly golden.