Chances are you haven’t given this topic much thought. BBs are BBs, right? Yes, this is true, but different projectiles are made of varying substances. For pellet rifles, the main component used in making those projectiles is lead. There are some situations where lead-free pellets are called for, such as indoor ranges. In these cases, the pellet needs to be made out of a material soft enough to engage the rifling of the barrel. In the case of pellets, Tin and other non-toxic metals are used to form them as tin is soft enough to engage with the barrels rifling.
In the firearm world, it is increasingly more difficult to use lead based projectiles as some state governments have banned the substance altogether for hunting uses. Therefore, for shotguns, centerfire rifles, and handguns, you will likely find copper and gilding metal used in rifle and pistol projectiles, and tungsten or steel used in shotgun loads.
When it comes to BB guns, the ammo, BBs, have traditionally been made of ferrous metal, i.e. steel. All BB manufacturers utilize some sort of coating process to keep the BBs from rusting on the store shelves. Some brands utilize a copper coating, others use a form of anodization, and others are finished with a zinc plating.
Since airgun BBs are made out of steel, a magnet will pick them up. This is really handy to know if you happen to spill a bottle of BBs on the floor. Round objects are hard to sweep up, and a magnet can make quick work of cleaning them up.