It's hard to say whether one is truly better than the other. I've been having a tough time figuring out what to answer, which is what took so long.
Steel is stronger; brass is softer. Sometimes you want the strength of steel so that your item won't bend. Sometimes you want the softer quality of brass so you can open or re-shape the links.
The ring chain (my personal favorite style) is steel, which helps the large flat rings keep their shape. However, it makes the little figure-8 links between them a pain to open. So I tend to use this chain in long segments, rather than adding beads in between as often as I do with other styles.
As far as color - the platings hold up very well so it will be a long time before the underlying color is an issue. And we have 7 different plating colors for most of the styles (silver plate, white, gunmetal, gold plate, antiqued brass plate, copper plate, antiqued copper plate), so the steel would be the best underlying material for the silver plate and white, whereas brass would be better underlying color for the gold plate and antiqued brass plate ... but they make the chains in the material that is best for their construction style, rather than what they're going to be plated with.
So - personally, I would pick the styles you like the look of best, and not worry too much about the underlying material, especially for our 40-099 series of bulk chain
One other consideration is when using light-weight steel chain and a magnetic clasp, sometimes the chain wants to bunch up and stick to the clasp. Rather annoying when on display, but usually not an issue once the necklace is being worn. Even some of our brass chains are attracted to a magnet, due to a layer of steel as one of the plating layers (some colors don't plate well over some of the base materials, and so get plated a couple times, with an in between layer before the final color on the top). Oh, let me correct that. It's NOT a steel undercoating. Russ just explained that there is a layer of nickel plating under some colors of finish, not iron or steel. Nickel is also attracted by a magnet.