Leather is lightest and cheapest, but can be constricting until it's broken in and tends to be sweaty in hot weather. Chain is more expensive, heavier, but less likely to guve you heatstroke; the weight, however, takes some getting used to.
Don't even bother with plate; it's like combining the above two, and then some. It looks nifty, but people will call you a rhino when you don't feel their hits through it.
General attitude is that leather wins, but for those of us who don't want to look like everyone else, chain is a viable alternative.