Most will claim that Alu has a stiffer, harsher ride, although higher-grade aluminum used on mid-level bikes (say $1k up) is a little more compliant. The only place you really feel it is in the fork (both mine have steel forks) and in the behind, if you sit a lot. FWIW, I love how stiff it is.
Steel is very traditional, and comes with a small weight penalty. It's more compliant, though you need to take care if you get nicks etc. and think about rust. A good choice for a clyde.
I have never cared for carbon, including in just forks. The phrase "catastrophic failure" does not appeal to me. The issue is not out-of-the-box strength, it's what happens if you hit something. Small nicks on carbon can lead to big failures.