For the obvious reason of weight, our modern space stations and satellites are made out of metal or lightweight compounds to reduce cost. In a quick Google search, about $20,000 per kg is the cost, to be exact. This limitation greatly influences the actual construction of stations. But what if the material cost was roughly the same as it would be for building a structure on Earth itself? It's the future, we have a Space Elevator, space asteroid mining, in-situ manufacturing, you name it we have it. How would that change our station designs? Would several feet of concrete or solid sheets of lead be useful for blocking radiation, etc.? What about other materials we commonly use, like wood, or clay?
The focus here is on creating a 'good enough' station with already existing materials (2018), and examining the uses of said materials in space. Other considerations are secondary. As some pointed out, more advanced and useful materials exist, but are not being considered due to the large increase in price. They are utilized in more important works, such as military stations and the like, but for your run of the mill habitation station, it is excessive.
For the purposes of the exercise, the following holds:
The cost of materials is the same as what it would cost on Earth, plus some % that it took to take it into space. So cheaper materials will always be cheaper than more expensive ones.
The 'economy' of supply and demand is considered to be the same as well, for simplicity's sake, so metals will not end up being the dominant force in terms of cost due to asteroid mining.