Usually in the United Kingdom, sheds are made from wood. This is because it is an easily available, relatively low cost that, once treated is durable and will last for many, many years. Another advantage is that wooden sheds also fit nicely with the traditional look of English gardens - they match the wood of the trees that surround an English garden.
There are some negatives to building wooden sheds though. Cost is one factor. Wood is relatively cheap, but it is still not the cheapest material on the market. Maintenance is another factor. Wood is generally quite durable, but in order to remain waterproof and protect its content, a wooden shed needs to be regularly treated. They are also relatively slow to construct compared to more modern pre-fabricated sheds. Although some people prefer that, considering it much more of a challenge, which is great for a DIY project.
Over the past couple of decades, more and more sheds have been coming to market made of newer materials, such as vinyl, or plastic. These sheds are usually much cheaper than wooden sheds, because they are made of cheaper material, and are easier to put together. They also tend to last better when exposed to the elements, because of the almost indestructible nature of plastic and vinyl. They are a good choice for many, particularly landlords who want a cheap shed, but personally I hate them. They are painted green to match the garden, but can't help but look artificial, and stand out in any well maintained garden.
The final choice for a shed is a metal shed. These aren't actually all that popular in the UK, or certainly, not in UK gardens - although they aren't completely unheard of. Usually in the UK, these metal sheds are used for industrial purposes. Industrial metal sheds tend to fit better with the look of an industrial estate than with a garden, I suppose. Anyway, they're quite easy to construct, because they're made of just a few panels of metal, and as a result, they are also quite cheap. They last fairly well, but not as well as a wooden or plastic shed. Honestly, I don't think they are a great choice for the UK, though, because of the climate here. Lots of rain tends to make metal rust, which is unsightly, and can be dangerous.
Lots of people buy sheds from a store, but personally I prefer to go the DIY route. This is also a really easy option, as you can get cheap shed kits from almost any DIY or home improvement store, and build yourself quite a nice shed in a fairly short timescales. If you don't want to go that route, though, there are lots of companies that are able to build sheds in your garden. One of my favourite companies is Tuff Sheds, who can build pretty much any kind of shed, from a small toolshed, to a massive multi-room shed, that can almost be considered an extra home in your back garden!