Which material sounds better for speakers construction? Wood, Ply or MDF?

Solid wood, nothing like the real thing. Problems: price, difficult to work and control. But in the end will sound like nothing else. 

For exemple Boenicke builds from solid wood: Cherry, Walnut, Oak and Ashtree. 

IMO the most natural sounding speakers that I ever heard. 

Use 5/8 inch mdf, layer of non hardening glue, 3/8 hdf, layer of non hardening glue, and 5/8 plywood to support them. Near perfect without the cost. Perhaps put the hdf 1st. Toss up. Enjoy. You have 98-99% at reasonable cost. If you’re obsessive switch the 5/8 mdf for 5/8 + of granite for your baffle. Your there with the big boys at minimal cost. 

There is nothing special about 6060 aluminum alloy. It is the most common material for all kind of aluminum parts. It is not expensive and very easy to machine. Modern CNC machines with carbide cutting tools cut this material like butter. 6060 has many heat treat variations. You can heat treat aluminum alloy to achieve certain mechanical properties and strength. Again T6 heat treat is very common and no brainer.
 Magico is made out of 6060-T6 aluminum alloy. 
Years ago when mechanical engineers design machines they will use cast iron for machine bases. Cast iron with graphite was resistant to vibrations. Another vibrations resistant materials are lead and asphalt and many more. Why Magico is made out of aluminum? Probably because it is cheap, easy to precisely machine, and process for example hard anodize. 

it's like asking what kind of fishing line is best. or what caliber for deer hunting is best. are we this bored?

Solid jarrah sounds excellent.It is a really dead sounding timber .I have used it laminated over MDF in larger speakers and as 100% solid in smaller speakers.It sounds much better than MDF or plywood to me.It is also great for turntable plinths and racks.Grado were also using it for some of their most expensive phono cartridges.It seems to have just the right density [medium-to high] and grain structure[short].It also looks beautiful.