Copper is usually used for shaped charge liners because it is relatively inexpensive, easy to work with to make the liner and more importantly is very ductile so it collapses easily without breaking apart. That ensures a better formation of the penetrating jet and follow through slug. Just about every type of material you can think of has been used either in fielded ordnance or experimentally over the years. Steel has been used, but it tends to be more of a break-up problem. Depleted uranium, glass, aluminum, titanium and many other exotic metals have been used. Actually, if you do not plan on penetrating large amounts of metal, you don't even need a liner. If you create a conical cavity in an explosive charge a jet will still form that will penetrate. A typical shaped charge jet travels between 5 to 11 km/s and represents about 15% of the original liner mass. Most of the remaining liner mass makes up the slug that travels at a slower 1 km/s. Distance is the enemy of the jet because travel through air breaks it up and degrades the penetration. This is why shaped charge ordnance has a built-in "stand-off" which is close to the optimum performance range of the jet. Credit is generally given to Charles Munroe in the 1885 to 1900 timeframe for the shaped charge concept, which is why Americans called it the Munroe Effect, but that is actually not the case. As early as 1792, F.X. Von Baader published a design for a mining charge that had a conical or mushroom shaped cavity in the forward end. In 1885, Gustav Bloem of Prussia was issued a US patent for a primer with a hemispherical cavity in the base to concentrate the effects of the primer charge in an axial direction. Munroe's designs included metal liners for the first practical application. A German, Egon von Neumann in 1910-11 added a metal liner to a shaped charge, hence in Europe the effect is often called the Neumann Effect. I don't think either man ever got a patent though, but I have not researched that for sure.