I asked the same question about a week ago. I've always heard that brass is a lot less bother but thought I'd ask as I've never build a pair for myself with alu nipples. I've seen alu nipples cause problems but only on cheap machine build wheels anyway. However, on digging around, brass does seem to be the way forwards. I was only looking because the DT comp black spokes I wanted are supplied with alu nipples.
If you do decide to go alu there are a few point to remember. I think the weight saving is just under 1 grm per nipples. Go slightly longer on the spokes to that they protrude through the top of the nipples to stop them deforming under load and popping the heads (there goes your weight saving). Use grease or copaslip on the threads. Lube the nipple eyelet interface when building. Only use an eyeletted rim with alu nipples. Alu nipples under tension on an alu rim will mean tears a few years down the line.