Personally I like tubular nylon webbing for jacklines, because it lays flat underfoot stretches a bit, and doesn't weigh much. I just attach them to the bow cleats or sometimes to a dedicated padeye on the fore-deck if there's on on the boat I'm on. The aft end should be attached to a cleat or padeye at the forward end of the cockpit, so you can clip in before stepping out of the cockpit, but if you go overboard, you will end up being dragged alongside the cockpit, rather than 6-feet behind the transom (which is where you'd be if your jacklines were led to a stern cleat). The idea is that if you're alongside the cockpit you have a better chance of clambering back over the rail, or getting dragged up by your buddies. Behind the boat you're screwed if you can't rouse the off-watch, and if someone's on-deck at the time, they'll have to completely stop the boat to get your soggy butt back up on deck.
The downside to nylon webbing is that it has to be removed when not in use, or it will weather. I don't see that as a problem though, since I don't care to have jacklines rigged for every daysail, and I always rig them before heavy weather, sailing offshore, or any night-sailing.
The alternative is to use plastic-coated wire, which can be left rigged all the time, but i've seen it wear through the gelcoat on deck, and it's a real trip if you step on it on a slanty deck since it rolls underfoot. The other issue with wire is that it is harder to see when it's ready to fail. Webbing that's getting old is more obvious, I think, whereas the wire will be weakened deep in a swage, or corroded behind the pretty plastic coating.