Entire books can be written about blade steel, but generally speaking, the harder the steel the longer it holds an edge and the more difficult it is to sharpen. Stainless steel blades are highly resistant to rust, and typically more affordable than high-carbon steel blades, but they usually don’t hold their edge as long. My advice is to select a knife from a recognized brand and don’t worry about the steel—virtually any steel will perform the tasks you need it to if it’s well cared for and regularly sharpened.
Knives with blades that can be discarded and replaced once they get dull have recently become popular. Havalon, Gerber and Outdoor Edge are the leading makers of this type of knife. The blades are razor sharp, but more brittle than traditional blades, so they’re not suitable for many tasks. For field dressing game, however, they are excellent.