Copper has a greater efficiency in heat transfer than stainless, but in a typical small-scale home brewing set up I'm not sure if that really matters.
I haven't checked prices in quite awhile but you can probably make your own chiller cheaper than buying a commercially made one. I made my own copper chiller back in college. I went to Lowe's and bought 50' of 3/8" copper tubing, formed it around one of my corny kegs to get the uniform round shape (I only used 30' of the copper, the other 20' I used to make a chiller coil that fits in an ice chest fitted with a tap to dispense kegged beer without a big trash can full of ice to chill the keg), and put a female garden hose compression fitting on one end (I lived in an old farmhouse and I ran the garden hose in the window of the bathroom, which was over the tub, and let the chiller drain into the bath tub). Later, I got a hand-held shower head and bought an adapter to hook the shower hose to the chiller. Seventeen years later and I'm still using it.
One thing: Lowe's had two different brands of 50' long 3/8" dia. copper tubing and there was a $20.00 difference in the price. Both are basically identical: same length, diameter, and gauge; so I don't know why the price was that different. I spent $32.00 on the tubing in 1998, probably a lot more now.