I am partial to my Planet Waves slide which is tapered to fit my finger and is made from chunky steel which while heavy enough to give a good tone, doesnt run you the risk of an RSI.
I also like the sound of brass slides, I actually quite like the drag the softer metal gives on the strings, it gives a bit more control, especially on a lighter strung electric.
I am always losing slides, so as well as having a few strategically placed around the house, my acoustic and my resonator each have a slide clipped to the back of the headstock, with a tool clip.
A top resource for slide playing is
www.michaelmesser.co.uk, he has a forum which deals with all aspects of slide playing, whether acoustic or electric, and has some great links.
Sollophonic