The material that any piece of furniture is made of decides its look - and to some extent - even the quality. There are two main options here.
Prefer the traditional look? => Wood
Wood is the first material that comes to mind when you think of a wine rack. A properly stained and lacquered wooden wine rack can raise the style quotient of your wine cellar (or your living room) several notches.
Mostly using Redwood or Mahogany, wooden wine racks tend to be strong and durable, not to mention aesthetically pleasing. Also, wood has more character than metal and tends to darken over time to gain an even richer tone.
Looking for a modern touch? => Metal
Metal wine racks fit much better in a home with a 'modern' theme of decor; furniture with sharp features and clean lines, simple colors and a chrome finish.
Moreover, many wine cellarist's prefer the sturdiness of metal racking. Metal wine racks often have nested bottle holders that keep bottles at their side at all times without sliding around, which is a persistent issue with wooden racks.