Steel offers the lowest price tag compared to other materials, but it also offers the most diversity in terms of colour and style.
Steel is malleable which allows radiators to be efficient because they can be physically designed to better pass heat from the water inside to the space around them (this is a radiator's job after all, despite some thinking that its job is to ?store? heat).
The heat output is also good, the proof is in the pudding with this one - would steel be the most common radiator material if the heat output was rubbish? Steel is a highly durable material which is important as radiators are going to be the victims of some knocks and bangs over time and you want them to withstand that.