I usually go with just plain arrows, as with a good bow, they deal plenty of damage to most things, and are so easy to make. I could see possibly using metal arrows if you have large stocks of metals that are going to do nothing but take up space in chests for the foreseeable future... But really, basic arrows, and if you want some extra firepower, needles are still quite easy to make out of portable materials. They do help bring down things like Lox and berserkers faster.

Bronze seems almost the biggest waste of all, needing three non-portable ores per batch of arrows, and iron is also pretty wasteful, seeing all the things iron goes into (not least of all, bigger chests). As above, obsidian arrows are a fine mid-grade option, largely because obsidian is portable and not really consumed by much else. Frost arrows are nice for their freeze factor against certain enemies, and fire arrows are nice for their bonus damage. To be competitive, I feel like the metal arrows would need some serious bonus damage against certain targets.