Exterior grade plywood and then prime and paint it like any other exterior wood. If you're primary concern is appearance, then perhaps a marine grade plywood and several coats of a good spar varnish.

Another option would be plastic. Azek comes in sheets that can be cut to size. You can leave it plain or paint.

Marine grade plywood is the way to go.

I get this product called Tuff Tread. It is MDO (medium density overlay) plywood with marine grade glue, and a non-skid coating on the top side. This stuff really works. It lasts over 10 years on exterior decks, without the need for paint or maintenance.

The cost is about $120 per 4x8 sheet.