Bone is my default. I've used corian, micarta, ebony, rosewood and graphite but there's little difference except on open strings - especially with the wood nuts on a fretless.
On a fretted bass the stock plastic nut usually works just fine. Use it unless/until it breaks, the replace it with any of the above.
"People don't realize it, but the bass player holds the whole thing up like Atlas." -Some wino who talked to me on the subway on my way to a gig