When putting something near water, it's important to consider how the material reacts to getting wet. Not all materials will hold up when being exposed to that much moisture, but here are some of the best options.
Metal
Metal is a broad category. Shower and bathtub accessories come in all kinds of metal from zinc and bronze to brass and copper. These are some of the most attractiveoptions, but you have to consider how they rust.
Most of the time, metal materials rust at the joints rather than on smooth surfaces. Unless the finish wears off, you won't encounter much visible rust until it spreads out from the joints, which can take some time.
However, metal does rust when water creeps in and sits in the same spot. When choosing metal, consider how many joints and seems it has, and their placement. A wire basket with a grid pattern that has a lot of soldered joints may accumulate rust more quickly than something made of many more solid pieces.
Brass, bronze, and copper are typically a bit more expensive, but they are less prone to rust. Zinc is more affordable, but will rust more quickly and need to be replaced.
Plastic
Plastic is lightweight and affordable. A plastic shower caddy may be a great solution for you because it offers a rigid shape, but it's often not as durable as metal. Depending on construction, plastic shelves may not hold as much weight as metal and it also won't last as long.
However, plastic is a great cheap solution for a bathtub that doesn't get as much use as the shower or for a guest bathroom that is only occupied occasionally.
Plastic does stain, so keep in mind that proper cleaning is critical with this type of caddy.
Mesh
Mesh is a unique and versatile solution for a shower caddy because it doesn't hold water and it dries quickly. It won't rust, but the mesh material can rip, so it may not be as durable. While you likely can't put heavy items in it, it's a great storage solution for lightweight supplies.
Mesh is great for kid's bath toys, travel sized items, or lightweight accessories like loofahs. Mesh doesn't hold its shape so it won't sit on a shelf, but it's versatile enough to hang on a hook, the shower head, or the faucet handle.
Wood
Various woods, like bamboo or teak, are also very durable options for areas with a lot of moisture. They're warm and relaxing, so they're the perfect solution for soaking in the tub with your favorite book or TV show. You just can't go wrong with a traditional wooden bathtub tray, especially if it comes with a book holder, a place for a scented candle and a wine glass slot.