It depends on your intended use of the knife. Stainless is, of course, less likely to rust, and wearing a knife against your leg will definitely get some corrosive sweat on it. I have a blade that looked great until it got all cruddy and I had to do some extensive polishing to make it look good again.

If you insist on a really good blade on your sgian (as opposed to wearing one for looks) then you can either pop for big bucks or have one made or even make on yourself. I have a couple of good ones and a couple of cheapoes, and I choose the purpose of the blade when I get dressed.