The difference between the metals is negligible on our end. I'm a machinist, I deal with SS and copper a lot. Copper is much easier to work with and transfers heat way better than SS; however like someone above said the walls on SS are thinner and this equals them out. SS is much more resistant to high heat, salt, corrosion, and damage (like scratches and gouges) than copper, but again, to us home brewers, we'll never have to worry about these factors. In the long run, SS will start to oxidize and rust, especially if you use a lot of OxyClean and let it sit for a while.
Anyway my point is they both have their pros and cons, but to us homebrewers, neither one is any better or worse.
I made my own immersion chiller; I made it out of copper because there is no way you would see me wrestling 30 feet of stainless tubing.