Wraithbone is a construction material used by the Eldar, though Dark Eldar cannot use it due to its psychic nature (they can however go and "borrow" some from their cousins). Eldar Bonesingers create it by manifesting psychic energy in the material world as a crystalline structure. In its raw form, wraithbone is a hard, smooth, white substance that is comparable to steel in terms of strength, though it is less ductile and weighs much less. Wraithbone is, however, a psycho-reactive material and as such can have its properties altered. An experienced bonesinger can turn a mass of raw wraithbone into everything from a Wraithknight's body to a silken bodysuit. Wraithbone's color, density, shape and hardness can all be altered by any eldar with even the slightest iota of psychic potential (read; all of them), so most items in an Eldar's life are crafted from wraithbone, particularly Craftworld Eldar who have little access to other materials. Any item that is particularly large or complex (wraith warriors, ships, etc) needs to be crafted by a bonesinger.
The Dark Eldar can't make it anymore and have limited abilities to shape it when they can steal it. They usually prefer to steal existing Eldar wraithbone and twist it to suit their needs.
Compared to wraithbone, certain materials like Adamantium may be harder and more durable, but they're also harder to repair. Other materials like chitin or plasteel may be cheaper and easier to produce, but they don't have the same quality. In terms of resilience and economy wraithbone hits a sweet spot that's probably only outdone by necrodermis as a universal construction material, and because of this Eldar armies tend to have the highest quality equipment, rivaled only by certain elite forces. For all that, wraithbone does have some two serious disadvantages. First, Wraithbone is a psychoreactive material, and while this is one of wraithbone's biggest strengths, it's also a pretty big fucking problem when your fancy Wraithlord turns to soup because some rogue mon-keigh psyker looked at it sideways. Also, Eldar wargear can only be repaired by a bonesinger meaning that battlefield repairs are a huge risk, which brings us to problem two: it takes centuries to train a bonesinger. While this is less of a problem for the long-lived eldar than it would be for most other species, it means they can't risk Bonesingers on battlefield repairs the same way other races can.