All sorts of materials. The main principle is that the artificial leg is no more heavy than the sound (healthy, intact) leg. If it is heavy, you can start having problems in your back, hips or in the intact knee.
This means that with a combination of materials, we have to achieve good strength and durability with minimum weigh.
So the main materials are aluminium, (minimum) stainless steel, titanium, carbon fibre (great material, great properties), rubbers and foam.