Cast Iron

Its depends on the application area. Basic shaft uses mild steel and area under a bit of load use EN-8 can be used 

ANSI 1020-1050 steels are most common materials for industrial shafts, depending on situation and exploitation other materials are used for example other common material is 42CrMo4 for heavy load since it's tensile strength can reach even 1200 MPa.

Generally low to medium carbon steels with high tensile strength and hardness (500-1300 MPa). Usually it's hot rolled or cast depending on dimensions and load.

Depending on steel and use heat treatment is prescribed, sometimes just hardening (not all steels), sometimes chrome plating, sometimes boron or nickle plating...