Since Michelangelo preferred to think of himself as a sculptor, his preferred material was marble. He thought particularly highly of marble from the quarries of Settignano, where he was trained.
When it came to painting, he worked most frequently in fresco -- that is, with pigments mixed with water and applied to fresh plaster.
I've posted this site before, but I'll do it again:
I agree with lanfranco but would like to add the following:
Re: "Madonna And Child"
Michelangelo's preferred medium for this type of work was red chalk, which had been introduced by Lenardo Vinci (1452-1519) during the year this work was executed.