Some pieces of answer:
Copper brings the second best resistance and is cheaper than silver. Aluminium is worse at equal volume but better and cheaper at equal mass, so it's used regularly where volume isn't a limit, in high-voltage power lines; it's uncommon where volume is a limit (as more conductor volume increases the unwanted length of the magnetic path), but one TGV train version uses aluminium in its transformers.
Beyond DC resistivity, the magnetic permeability of iron makes it horrible as an AC conductor. Any conductor carries the current only at its surface as the frequency increases (9.3mm for Cu at 50Hz, worsens as sqrt(frequency)) but in a ferromagnetic metal, this "skin depth" is further divided by sqrt(relative permeability), so Fe is unuseable at 50Hz already.
There are less obvious but strong reasons more. For instance in a motor, you want the magnetic flux created by the rotor to pass to the stator, not to close within the rotor. Ferromagnetic conductors would be fatal to this "slot inductance". As well, the induction through the wires must be minimized to reduce losses by eddy currents in the wires, excluding iron again.
Individual electrons are not dia-, para- or ferro-magnetic. This behaviour is for electrons near nuclei, forming orbitals or bonds, depending on whether the electrons make pairs or not, and in the case of ferromagnetism, is strictly a collective behaviour.
Dia- and para-magnetism are very weak; it needs special setups to observe them. Only ferromagnetism is strong enough and is used in common electric machines. In ferromagnetism, electrons interact enough with their neighbours to be completely oriented permanently, to make inductions like 1-2T thanks to the collective behaviour, which enables electric machines. Coils only influence the orientation of this spontaneous magnetism, and only where "Weiss domains" of conflicting orientation meet, so electrons are easier to flip there.
You could seek more information by searching expressions like ferromagnetism, soft magnetic, permanent magnet, diamagnetism, paramagnetism, Weiss domain, magnetic domain, Bloch wall, Kelvin effect, skin depth, slot inductance, leakage inductance. Wikipedia is a good place to start.