When I first came back from my Mission I wanted some amazing pans and was enamored with All Clad Pans, I thought these were the end all be all of pans; stainless steel, heavy construction, stay cool handle wow amazing. They were very expensive and work wonderfully well. However, after owning 2 restaurants and cooking a lot I've come to the conclusion it is hard to beat a nice cast iron pan.
First cast iron is cheap you can get them at Walmart for around $20, down from $100 for All Clad. If you season them they are fairly non-stick, non-reactive with food and completely bomb proof in a kitchen. You can take them straight from a stove to an oven to the sink and not hurt them a bit. They don't scratch mar or wear out and cook food up beautifully. In addition using cast iron helps you to get iron in your diet. The only down side is that they are really heavy with little short handles. (I'm working on a solution for that as a hobby. )
The number one misunderstanding about cast iron is how to season it. I've found the best way is when you get a new pan, put it on the flame on med high, get some salt, about a cup, and some canola or Peanut oil, (something with a high smoke point), pour a little oil in put in a couple table spoons of salt and rub it into the pan with a bunch of paper towels. Continue doing this until your pan starts to turn brown. Once it turns brown it is seasoned. Let the pan cool and simply rinse it out with water. Once you start cooking in it, it will become more and more seasoned and cook better and better and be more non-stick. Before you balk at all of this work, realize you really only have to do this once as long as you take care of your pan after you use it to cook.
Taking care of cast iron is a cinch, after you cook you simply rinse it out with water and put it back on the stove to dry. If things have stuck to it you can put it in a sink of water for a few minutes and even use soap. The trick is not to scrub it. If you scrub cast iron you will scrub off the seasoning. The seasoning by the way is not old food the seasoning is carbon. Whenever you cook the carbon from the food you cook binds to the iron and carbon from previous seasonings and forms a little layer of carbon molecules that act as a great non-stick surface.
I absolutely always recommend against using teflon. It is a freaky material that is dangerous and bad for your health and should not be used in a kitchen in my opinion. If you have teflon pans throw them out, it is worth it for your health and the health of your family.
Stainless steel pans are great but take some skill at using successfully for everyday tasks like frying eggs etc. Typically people overheat the pans and everything sticks to them. They can be expensive, but are fairly reasonable at Sams Club or Costco. They would be my second choice behind Cast iron.
Aluminum pans heat up well but are reactive with acids and thus tomatoes. Plus they are expensive.
Get some great lodge pans from Walmart, season them up and enjoy cooking.