I have used copper electrodes and stainless steel electrodes.
Because i use wet cotton clothes between the skin and the electrodes i don't think there is many metal molecules able to travel towards the skin. And i have not felt any side effect from that.
So now i use stainless steel electrodes + wet coton clothes.
If i remmember correctly, copper has a higher conductivity (or lower resistance) than stainless steel.
But you need to clean it from time to time because it oxidizes.
See :
I use lemon juice to remove the brown/green deposits, it works well.