I made a couple of small (~1/4″ diameter/ 6mm) woodturning tools using some M2 High Speed Steel for just a few dollars each. I made some handles and ground them into 1) a skew chisel, and 2) a detail tool (flute-less gouge?). These tools are quite useful for working on smaller pieces.
Making your own tools is a great way to make woodturning even more affordable!
High Speed Steel is a great material for woodturning because it can handle being heated without losing strength. This makes it easy to grind with a bench grinder. It also holds a sharp edge well.
There are different grades of High Speed Steel, and the type that is most common and affordable is M2. Most of the budget HSS woodturning tools are a form of this. M2 represents a set of ranges of different elements in the alloy, so there may be small differences between different batches or brands. But overall, M2 steels are all very similar.
There are also Cobalt HSS and you can find tools made from them as well. Generally, they will be M35 or M42. They are harder and will hold an edge longer than M2. They’re also a lot more expensive.
I suggest that beginning woodturners start with M2 and learn how to turn and sharpen it for a while before spending the money on Cobalt steels.