Delrin is the perfect "practice" material and extremely useful to have in the shop to make "jigs, special tooling, bushings, etc". It's super cheap and machines easily. The problem with Delrin is that it is UGLY and feels REALLY CHEAP.
Ebonite machines and threads nicely, holds a nice shine looks elegant and expensive. The problems with Ebonite is that if too much heat builds up in the drilling, threading or lathing process, it is RUINED. Additionally, it IS expensive and is getting more difficult to find.
Alumilite is cheap, easily lathed and somewhat easy to thread. My problem with Alumilite is that when you make thin walled pens with no tubes, it becomes sorta "see through" and feels light and cheap. There are ways around this. So Alumilite is a decent material to work with.
Contrary to what many may say, YOU CAN make a component less pen from Casein, Bakelite or Polyester resin, IF YOU HAVE ENOUGH TIME AND MONEY. A BIG emphasis on Money, as you may break it 30 times before you can ever finish a pen from these materials.
Personally, I like brass and aluminum rods. They are a little more difficult to machine, but more difficult to destroy. The shine up nicely, will accept all sorts of "embellishmebts" and finally feel rich, elegant and custom made.
Good luck and have FUN!