Where to start???
Disclaimer: "The following is based solely on my experiences"
Wood:
Wood racks or actual wood cages??
PROS: Most aesthetically pleasing. Can be customized to fit any size, lighting, heating or ventilation requirement.
CONS: Wood is heavy, no way around this. In order to have strength, you must have thickness. Thickness=heavy.

Because wood is porous, it is very difficult to sanitize. Even when a sealer is applied, the finish is full of little creases that can harbor micro-critters.
Glass:
PROS: Can be thoroughly sanitized. Attractive for naturalistic displays.
CONS: Heavy. Because of size and weight glass can be difficult to move and clean. Can become expensive to use with large collections.
Plastic:
PROS: Dirt cheap, light weight, and easy to sanitize. Many sizes are available. Large collections can be kept is a reduced space. Ventilation is a breeze (no pun intended)
CONS: Not as pleasant to look at.
There are endless options available and this is by no means a comprehensive listing.