Lots of factors, the largest being what size boat and where will it be.
There is nothing wrong with any of the materials you list it is a matter of the application. A nylon thimble on a small skiff for light duty is fine. You generally are not going to worry about dissimilar metals on a rode like this IE mixing SS and galv steel. In general you always want to use a welded or continuos thimble if possible.
And speaking of general generalisations, there are NONE when it comes to anchoring or anything to do with it. About the only sure thing to advise is to use quality verified materials that are of the correct load capability for the application. For example a wichard or harken shackle will not be the same as a seadog or swap meet no name. A no name galvanised shackle will not be the same as a crosby etc etc.
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