All pressure treated is the most affordable way to go.

What millworkman said. I just had a from-scratch pergola quoted in both pressure treated and cedar. The cedar bid is 60% higher.

I have used larch, also called tamarack in some areas.

Thinking more on it you may be able to fins Merchantable Spruce in a 5/4" Plank in KD material that should be acceptable and affordable as well.

Here is my composite deck....I think it looks pretty natural. I did 24 months financing at Home Depot for materials and paid my contractor to build it. I used Brazilian Walnut with black railing. Materials and labor were $11,700. I thought that was a great price for a 20'x12' deck with stairs. Here are some pics after install....the skirting isn't done yet in these pics.