Ed, mild steel is the logical choice for a cage. But, too many racers want to be able to say, "I got me a moly cage." Well, whoop-dee-do!
The difference between two 20 foot lengths of 2 inch tubing, one of 0.135 wall mild steel and the other of 0.083 wall moly, is about 17.5 pounds. Wow! Now, that's really a big weight savings! (Tongue is firmly embedded in cheek.)