Wood frames are energy efficient, though they will cost you quite a few pennies at the outset and in regular maintenance costs. They are relatively easy to repair if broken, and you can ensure a sustainable product by purchasing from a certified supplier.
Also look for "Low-E" windows, which often have double panes with argon or krypton gas between the panes. This gas barrier helps reduce conductivity without affecting the view.
Vinyl frames (also called PVC, uPVC and PVCu), are more energy efficient than aluminum frames while popular for its low cost, low maintenance, resistance to moisture.
Aluminum frames do not rank especially high as an energy efficient option because they are heat conductors—the flow of energy is not as regulated as with other framing products. They are quite cost effective and it doesn’t take much to maintain them.