One-piece, plastic-coated steel rods are the way to go. Uncoated one-piece steel rods are second best.
Aluminum oxide (which forms on the outside of aluminum rods or anodized aluminum rods) is very hard and, worse yet, it is abrasive. It will certainly damage a bore if rubbed against it.
Brass/bronze rods are soft, but surprisingly, brass and bronze can be as hard as the steel used in firearm barrels--especially rimfire barrels which can be quite soft. But that's not the reason I avoid brass rods. I avoid them because they are often soft enough that material/contaminants embed in them. When that happens they become a lap and can wear the steel just like sandpaper wears steel even though paper is much softer than steel or a lead lap wears steel even though lead is much softer than steel.
Uncoated steel rods are hard, but they are not abrasive unless they are rusted. It's less likely that material will embed in them. Keep them oiled so that they don't rust because iron oxide is abrasive and wipe them down before, and while, using them to keep dust/grit from building up on them.
I don't like screw-together rods because every one I've ever used has eventually broken at one of the joins . When they break, they can damage the bore or cause injury. If you really need to use a screw-together rod, chose one that is high-quality and made of steel--and keep a very close eye on it. If it starts to bend or loosen up at the joins, discard it and get another.
Whatever I use, I clean from the breech if at all possible, I wipe the rod frequently to remove any contaminants/particles from it and I try my best to prevent the cleaning rod from ever coming into contact with the bore.