You can use brick to create interesting stairway designs, as well as walkways or patios. It's important to create the design you'd like with brick before purchasing and attempting to lay them.
Bluestone treads look like long stone blocks, or they can be irregular shaped. You can also incorporate bluestone treads with brick designs, alternating brick or bluestone for risers and the opposite for treads. Bluestone comes in different widths, thicknesses and surface textures.
You can lay a stone stairway in cement or dirt and give an entirely different feel. You can also incorporate stone with other materials like bluestone treads. You can use the stone for risers and the bluestone for treads, and vice versa.
Pavers come in different designs and colors -- providing greater latitude in designing your outdoor steps. You can also incorporate them with other materials like bluestone, provided the colors complement one another.
Wood steps are an option when building on a steep hillside and using multiple deck platforms connected by stairs to lessen the grade. The risers are constructed first and the wood then laid upon them for the treads.