As with spokes, there is a nipple to suit to every wheel requirement. To decide which nipple is best, you must weigh up the available information:

Sapim makes nipples in nickel plated brass and in aluminium. 
All nipples are forged. 
Arguments in favour of a brass nipple are price and rigidity.
The strength/weight ratio is the principal argument for a 7075 alloy nipples. 
It is superior to all other makes. 
If a coloured anodized alloy nipple is selected it will guard against corrosion as well as look special.

Hexagonal head nickel plated brass nipples allow a higher torque without damaging the four spans of the nipple. Because truing is done from the head side that has a larger diameter. It can take more pressure.