If I was rating the ones I've tried in order of my preference, I'd say:
hill cane
switch cane
river cane
Sasa palmata
Japanese arrow bamboo
tonkin (HD plant stakes)
Chinese golden bamboo
There are plenty of other ones that I haven't tried, like the Bambusas and more of the Sasas. One thing to remember also, is that quality can vary a lot within the same species. River cane, for example, can be very excellent or not very good depending on how picky you are at cutting shafts, local variations, what part of the culm you cut the shaft from, etc. Hill cane is great, but it's hard to find culms big enough for shafts. Tonkin seems much more brittle than the others, but it's still way ahead of wood shafting in my book.