When I first started knitting about 6 years ago a used the cheap steel needles. But then after a few years a invested in a KnitPro Nova set of interchangeable needles and they have been my favorites ever since. Only downside is that the smallest size is a size 3,5 mm (US size 4) and I really like knitting with size 3 mm (US size 3) needles.
Last year I got a set of Knitter's Pride Nova Kubics Platina needles and I really love those too. Recently I decided to try some wooden needles and got a set of Knitter's Pride Dreamz. I've never liked wooden needles before but I think it was because I only tried bamboo needles - and they feel too soft for my taste. Anyways, I really like the Dreamz needles and before casting on a big project I decided to do a little experiment. I've often heard (or more like read on the internet) that the material of the needle can affect your gauge. The same goes for the shape of the needles - round or square. I've never used both my KnitPro Nova round needles and Knitter's Pride Kubics square needles for the same project for this reason. The KnitPro Nova needles also feel a lot thicker.
So I made 3 swatches. Same yarn (same skein), same knitter (me), same afternoon and even the same wire*. The only difference was the needles. And the result? They are the exact same size! I'm sure this varies from knitter to knitter though. Som people probably hold more tightly on a specific type of needle. But I find it nice to know that I can use the different type of needles for the same project without it affecting gauge.
*KnitPro and Knitter's Pride are the same needles basically - KnitPro is the European name and Knitter's Pride is the North American.