fiberglass: too flexible + risk to split in 2 parts for 3D frames
aluminium: 1/3 lighter than steel but also 1/3 weacker => bigger or thicker tubes and requires TIG (Tungsten Inert Gas) welding => tricky to weld
steel: arc welding is definitely not a good idea. The hight temperature will weacken the steel. Can be TIG (requires special steel alloys) or brazed. Last solution could be possible, with lugs (hard to make but stronger) of without (requires a perfect and solid joint!). Seems to be the best compromise.
Here is an expert´s opinion:
I wouldn't recommend an arc/stick welder unless you are a very experienced welder using heavy guage mild steel tubing. Most people aren't precise enough to do this. High grade steel alloy bicycle frame tubing would be damage by the excess heat spread from this type of welding. High quality hand made lugged chromemolly or manganesemolly steel frames were usually silver brazed or brass brazed together. Luggless frame were traditionally brazed together with prescisely mitered joints. Modern luggless frames are usually mig or tig welded in a production setting, but often still brazed together by small volume handbuilders. I personally prefer to use a gas torch when building frames, but that is a personal preference. It is slower but quieter and there is no arc involved. I also learned this way before the other methods, a long time ago. If i wanted to build an aluminium frame, I would tig weld it Even if I were to make a frame out of old waterpipe, I wouldn't stick weld it. I do use a stick welder to fabricate with thick rusty metal, properly prepared, when I want really good penetration. My opinion is based on experienced gleaned from working in a bike shop where we built high end custom racing, touring, track and tandem bicycle frames and all phases of bicycle repair, including replacing damaged frame tubes in frames built by other makers.