Were I to build a frame now, I might use 1" square steel tubing members, welded together. You could also use aluminum, but for the same cross-section, the steel will be stronger. It is also easier to weld. If welding is not available, you are limited to shapes which can be bolted together. This is not impossible, but it requires more thoughtful design.
For the guides for moving or sliding elements, stainless steel drill rod is good. Because it is round, it doesn't constrain rotating motion, so you might need two drill rods, spaced as far apart as your design allows. The twisting force will be harder to manage with rods than it would be with a solid element. If the parts are moving during printing, you could consider stainless steel tube or aluminum rod to keep down the weight.
If you have the machining ability, instead of rods you could use a T cross-section (steel or aluminum) with wheels rolling on the two outside elements of the T. Machine is likely needed to adjust the profile of the edge to more closely match the wheels (which could be /V\ shaped), and to make the separation be accurate enough that you wouldn't need a spring element to clamp to the T.
There are many materials and forms that could work. You are limited only by your fabrication ability and access to materials.