Copper is the norm, but red sometimes looks good as does green. Don't be afraid to try new stuff. I would say though, get it right with copper first.
one important tip, wind the copper in the opposite direction to the pheasant tail fibre. This is true with any rib. In the case of pheasant tail it will stop stop the fibres unwinding if (when) they snap. For the sake of giving you a complete picture when rubbing over dubbing, turning the ribbing in the opposite direction to the dubbing will keep it on top of the dubbing and stop if from dropping in between the turns of dubbing.
I paint the hook shank with varnish to help stick the pheasant tail down and give it a bit of protection.
Once you've mastered the PTN have a think about crunchers.
Other, better crunchers are available in the fly tying section!!

Have fun
Andy