Gold and silver usually. Copper oxidises too quickly. It's why the cartridge style fuses you see have nickel plated ends instead of bare copper. Tinned (lead solder style) is fine too as any oxidation can be easily broken through to give good contact.
I'd be more worried about where I bought the fuse from, ie the quality of the thing, than the contact having gold / silver / tinned ends. There's no point in a fuse that you can't rely on to do its job.