For YOUR purpose something like schedule 40 PVC tubing would withstand a lot of pressure and be affordable to work with. Real attack submarines are not made of this but I would venture a guess that you won`t be operating outside the reach of your R/C control unit.
Dream on. That's all you can do.
Remote control is near impossible through water, especially for Joe Everyday.
To answer your question, steel.
But you are not going to build one of that or go to any depth because of all kinds of problems in construction and cost. See the first answer.
Submarines are made of a high-strength (150,000 psi) steel.
I am trying to create a small, remote-controlled sub to patrol areas of the sea and send images back to me, but I don't know what to make it out of.