You definitely want to experiment with as many different grades of aluminum, brass, and steel as you can get your hands on... Especially aluminums because their charicteristics are so different... Aircraft grade aluminum is typically the most user friendly when it comes to drilling and cutting, and the aluminum rod stock they sell at Home Depot and places like that can be very user un friendly since it's very soft and bends easily as well as having issues with loading up on drill bits and some cutters... a good practice would be to get some of that 3/8" or 1/2" cheap aluminum rod stock from the hardware store and see how smooth you can turn it then see how many shoulders you can cut on a piece without bending it... it can be a real challenge. Then try some good aluminum like 6061 T6, 7075 T6, or 2024 T3 and notice the difference each one makes.
Brass is another easy to cut metal and a lot can be done with it... Always good to have some brass bar stock on hand.
Mild steel machines really easily as well, then the harder steels like drill rod stock, spring steel, or HSS will up the challenge since you'll need to play with your cutting speeds and feeds. Some of the harder steels will require carbide cutting tools.
All in all it takes Lots of practice practice practice... but we'll all get there if we keep practicing.
Subscribe to this guy's youtube channel too... he has tons of lathe tutorials that are very useful.... https://www.youtube.com/user/mrpete222