There are all sorts of different alloys you can use now, sure. It's not all a gimmick, but most of it is priced like one. I reckon most people use them because they have slightly different heating properties than kanthal. It's not exactly the next new thing in vaping. It's just a preference.
Then, there are nickel and titanium, which are used in "sensing" devices that can regulate the temperature of your coil with some precision. It's a whole new world, Aladdin style. Just something to consider when you're shopping for boxes. Lots of them give you this option, now.
Different wicking materials, I couldn't tell you. I still prefer Japanese organic cotton, myself. I buy it on amazon, straight from Japan. A lot of these fancier-looking pre-packaged vape cottons are essentially the same stuff, only more expensive.
Most people still use kanthal or nichrome, though building has gotten a bit more elaborate. You can do A LOT with just kanthal. Start with twisted wire, flattened wire, clapton, and parallel builds. Twisted wire is the easiest to do. If you have a drill and a screwdriver, then you can twist wire in no time. Claptons are more difficult and some people find they aren't worth it. Youde sells clapton wire at a decent price if you want to try it out. Flattened wire can be bought from Lightening Vapes for cheap. Parallels, you can do with whatever round kanthal you have.
Start surfing youtube for build videos and you'll find the sky is the limit. It's hard to know where to start, really. At least with those, they show you exactly how to do it, so you can try it right away and see for yourself how it performs. I think it's the simplest way to learn about different types of builds. Youtube, youtube, youtube. Watch and learn.
I would totally start by doing regular coils with different diameters and wire thicknesses, though. Get yourself one of those pen coilers or a set of drill bits. Smaller diameters and larger diameters perform and wick differently.
At the end of the day, it's all a matter of trial and error. All being said and done, I've tried a lot of elaborate builds, but I keep going back to plain old macro 24 gauge coils...