Good carbon steel, say of the kind still occasionally used in chefs' knives, holds an edge much better than basic stainless. However, there are a number of modern stainless steels that rival carbon steel in this respect and are easier to keep clean - obviously.
The Internet is full of information on this topic - try Doug Ritter's site "Equipped to Survive" to start with.
I agree with Whisybreath here. Damascus blades sharpen up to the "dergs berlecks". But I've a Cold Steel Trailmaster in carbon steel that'll still easily lop off bits of free-hanging one-inch hemp rope and I've had it for 15 years. Carbon steel is the way to go, in spite of the crappy look!