Black pipe has been used for many, many years for compressed air. Copper is good too, and would be a good choice if you don't already have dies and cutters for steel pipe.
PVC is not approved for compressed air. Lots of people have used it, but that doesn't make it safe. PEX is a better choice, but it also NOT approved. PEX-Al-Pex is a soft aluminum pipe sandwiched between inner and outer layers of PEX; it's approved for compressed gas but costs about the same as copper or steel.
There are plastic pipe systems approved for compressed air; if you're insistent on using plastic go with one that's approved. Otherwise stick with black pipe or copper.