| Assuming this is not some joke-trap I'm about to fall into....
I'd go for brass. Also consider bone (real or imitation but treat real bone first), aluminium, stainless steel, carbon fibre, many plastic materials. Graphite - the stuff that pencil leads are made of - is way too soft.
You can make a nut easy enough for yourself from most materials. Get hold of a scrap end of whatever material and file it to shape. Finish it with increasingly fine grades of abrasive paper and finally some kind of polish. You can either file the grooves for the strings on the bench or with the nut mounted: there are pros and cons to both methods. Either way, make sure it fits to the neck nicely before gluing it on. Use needle files to file the grooves for the strings. Begin this by making the grooves deliberately high then keep slowly filing until you're satisfied. Check out other basses in music shops for ideas if nescessary.
If you're not used to working with metals etc like this, have a few practice shots before making the real thing.
Rockin John | 
