If you don't have heat treat capabilities, then there won't be much difference between plain old mild steel and alloy steel (unless you get some pre-hard 4140). Really, the only reason to heat treat, or go for a tougher grade is for high use items, or things that are really going to see a lot of stresses. Mild steel is just as stiff as alloy steel.
So, to answer the question, after that little segue, it depends on how much you want to put into it.
If you want to do it on the cheap, grab some 1018, or A36 (even 6061 aluminum, though aluminum is 1/3 the stiffness of steel).
If you want to make it the best you can, go with 4140 or 8620 as Ray has suggested, then heat treat. At that point, they will outlast you.
If you want to make it the best you can, but you don't want to heat treat, grab some 4140 pre-hard. Stuff is supper tough, though not as hard as it would be if you did a full heat treat.
If money is no object, grab some 17-4 PH stainless steel, machine to size, then heat treat.
Cast iron (durabar) would also be a good choice if you have a local source. Everywhere I see online is outrageous.
If it were me, I would just grab some mild steel, and maybe powder coat the parts afterwards.