I started shooting wood arrows several years ago because it was a requirement to shoot in the longbow class at some tournaments. Now, I just like them. They have their own personality, much like a bow, and seem to be quieter and more forgiving (that may just be in my head).
I've shot fir, spruce, maple, Norwegian pine, Lodgepole pine, chundoo, ash, and probably several others I can't recall at the moment. I always wind up going back to Port Orford Cedar (POC).
Getting quality shafts makes a BIG difference, regardless of the wood. I think the best wood in the world could be made into a really crappy shaft. Straight, tight grain and very few grain runouts are what you are looking for. Consistent weight and spine are a must for consistent accuracy--spine moreso than weight IMO, at least at closer (hunting) distances. Hand spined is better than machine spined--the machine doesn't know or care which way the shaft falls into the trough. Most folks that hand spine will spine each shaft the same way--either with or against the grain (usually against). You will need to put your nocks on the same way. Rogue River Archery put a little dot on their shafts to indicate how it was spined, and which way you need to glue the nock on. I glue mine on so the string is against the grain.
Finish is important--wood shafts will absorb moisture, which will cause them to warp and can have an effect on the spine. I like an epoxy finish a buddy of mine told me about. It's simple, fairly cheap, and works better than anything I've ever used.
Getting good shafting isn't usually cheap. Every time I've ever bought cheap shafting that's just what I got--cheap shafting. Making your own arrows is time consuming, especially if you dip, crest, etc. Buying finished arrows, especially fancy ones, can be as much as a aluminum or some carbons. They do break. You need to check them on a regular basis, especially if one takes a hard hit. A cracked shaft released from your bow can wind up going through your hand or arm.
They are worth it to me though. Danged if I know why, but I love 'em.
Chad