La Salle makes a steel called "Fatigue Proof" that's just wonderful for firing pins. You can machine it on the lathe, and you don't have to heat treat it, it can go right in the gun. I found out about this steel from a guy who worked at Purdey's; told me that was the steel they use for all of their firing pins.
You can find La Salle Fatigue Proof from most large steel suppliers, or you can get it from Brownells. It's expensive from Brownells, but it's worth is. Best firing pin material I've ever used.
Other than that, O-1 drill rod is darned good to use, but you'll need to heat treat and oil quench when done (which isn't a big deal).
