The cheapest materials would be what can be acquired in space without having to launch from Earth. As a result, you're going to want to build your O'Neill cylinder out of some combination of iron, aluminum, titanium, and silicon dioxide.
The last of which might be particularly useful, as it is the main ingredient of fiberglass while also being the most common substance on Moon and asteroids. As a result, you probably want to build your cylinder primarily out of fiberglass. You can get pretty decently sized cylinders, as fiberglass has a higher strength-to-weight ratio than steel. Apparently, 24km diameter is a viable figure. Scale up length the same way, and you'll get 96km. So a 24km x 96km O'Neill cylinder made out of fiberglass.
That would be about 7238 km^2 of usable surface area. Half that to 3619 km^2 to make room for windows (as originally envisioned by O'Neill), and assuming a density comparable to New York City (about 11,300 people/km^2), you'll get around 40 million people. Or about the population of Tokyo.
That's seems plenty for any sensible space colonization strategy we might adopt in the future. And what's best is that you don't really need any fancy technology. Just use solar power to power mass drivers and deliver raw materials from the moon or asteroid via electricity. And it won't be any special materials either. Raw regolith can be made into fiberglass, so cost can be kept surprisingly low. The only question is scaling it all up, which may unfortunately be too expensive or will take a very long time to happen. Ultimately, this is still sci-fi, albeit on the hard side of it, since no fancy new technology is require.