Hi Nick
You can see lots of pictures of real interlocking cube puzzles in my shop,
microcubology.
You will see that I have used mainly
White Strong and Flexible but also a selection of other materials including
Alumide,
Steel, and
Black/White/Transparent Detail.
'Best' is a subjective matter but there are a number of factors to consider including cost, strength and dimensional stability in all three axes. 3D printers can be very stable in two axes (X and Y) but vary slightly in the third (Z). This doesn't matter for sculptures, but for the close tolerances needed for interlocking puzzles it can be a problem.
White Strong and Flexible is polyamide, or nylon, which is very strong and stable but not smooth. The roughness adds a bit of extra friction to the movement of the pieces. You must reduce the size of each piece by a small amount to compensate for this or the pieces won't fit together.
Steel is by far the strongest, but is expensive and doesn't give a tight fit because it shrinks in the curing process. Getting the fit right involves a lot of experimentation and cost is a limiting factor for me in getting this right.
The Detail materials are waxy and smooth but not as strong as WS&F. They are also temperature sensitive and could melt if left in direct sunlight.
Alumide is 50% polyamide and 50% aluminium powder. It has a smoother feel than WS&F but is more brittle. None of my alumide pieces have broken yet but there are certain pieces I wouldn't use it for.
Hope that helps a bit.
Cheers
Rich Gain