Here is a quote from another post which nicely addresses wall materials.
This has got to be the most rewarding addition you can make to your bathroom!
Selecting the right wall materials is not only an important construction consideration but an important design aspect as well. As long as the room is constructed of waterproof materials from floor to ceiling and properly constructed and insulated, the possibilities are endless. Be sure to design a room you will love to spend time in!
Popular installations include Acrylic, Brick, Ceramic Tile, Cultured Marble, Fiberglass, Glass, Glass Block, Glass Tile, Granite, Marble, Natural Stone, Porcelain Tile, and Slate. As these materials are frequently used in these environments, your wall material supplier should be able to advise you on appropriate installation of their product.
These materials will also affect the "Fog Factor" of your steam shower. Materials which retain heat (acrylic, fiberglass, etc.) will help your room heat up quickly but are less likely to produce a thick fog. On the other hand, materials which create heat loss (glass, stone, marble, etc.) provide for rich foggy environments with lots of ambiance. Now add lighting and see how enchanting steam can be!
Here is a great link to some in depth information on wall materials and construction http://www.steamsaunabath.com//catalog/all_about_steam_rooms_walls.php#walls