That's a pretty big question! I don't have a good answer for you. I have old copies of Materials Engineering magazine that list typical uses for different steel alloys. I see that MatWeb gives "Applications" for at least some steels under the "Material Notes", but working your way through thousands of entries would be a bit of a drag.
You can quite likely get some answers if you asked what material to use to make a particular type of part.
Dene, a better approach might be to consider what characteristics are desirable for your application, then seek a material that possesses those characteristics. It should narrow the choices to a manageable number.