I have had good luck using scrounged steels from axles (1050?), car springs (5160), and jack hammer bits (S5 and S2). All have been free for the asking, except for the occassional bribery of beer
I believe that the best "new" steel would be S7 or H13, depending on the usage you had planned. These can be bought through tool steel suppliers, or drops can be bought for a reduced price on ebay.