Superconducting materials (both conventional and HTS), this is what is used in cryogenic applications. E.g. NbTiN is used both for DC and RF applications and that the electrical losses are very low is of course a bonus.
As has already been mentioned stainless steal is also an option, but might be a bit too lossy for many applications.
Generally speaking, alloys have lower thermal conductivity than "pure" metals and are therefore often used. copper-beryllium and copper-nickel would be two widely used examples.