Short answer: Any conductive material with the approximate size of a human finger.
It might be difficult to make one that includes multiple technologies. For example, the stylus from the Samsung Note and the Ipad Pro rely on proprietary technology that might be hard to duplicate.
That said, it is feasible to make one that imitates the touch of a finger. In fact there is an insctructable that I will sum up here.
Screens map changes in an electric field produced by a charged conductive layer. Whether one or more points is detectable depends on the capacitive technology used.
When a change in the electric field is detected, it is checked if it has the size of a finger and if yes the position is tracked.
Therefore, any material that is not an insulator can be used, this includes things such as aluminium foil, a wet sponge or a wet piece of leather. I believe that also means that you could use other methods for modifying the electric field of the screen, such as charges or currents (one observation that I made accidentally is that the cord of my earphone has touching capabilities even though it is coated in plastic (please try with yours). Also, the electric currents of big monitors make it impossible to use capacitive technology in bigger screens. But if you plan to use currents or point charges to control a capacitive screen, it may not behave nicely.
Since you can use any material that is not an insulator, I think your second worry should be damaging the screen and, at the same time allowing it to glide on the screen (low friction coefficient).
One very convenient idea is to add graphite To a polymer of choice. This is a trick long knew in electronics: add graphite powder to anything you want to make conductive or with less friction. So you can choose a polymer with your desired physical properties and mix graphite during curing. There is an insctructable about that. Any conductive powder such as silver may also work, but it is more expensive.
As I assume you are making an stylus to make it somehow different from the existing ones, you can try different mixtures to see which ones produces better results. Good luck and please edit with the results.