Copper, steel and polyethylene are typically used for propane & natural gas - check your local code.  I'd probably go with black iron pipe - it's cheap, tough, readily available, and relatively easy to work with.  Dope the connections with pipe dope approved for gas, and pressure test the assembly before putting it into service.

Note that the CSST (Corrugated Stainless Steel Tube) flexible gas line typically requires a conduit for direct burial.