The jewels in watches are synthetic Corundum for the most part. The cost is relatively low and the durability and surface allow them to be polished so that they can be as close to friction free as possible. Friction in a watch movement is not good, it contributes to reducing accuracy.
There are some way out movement designs that have explored using other items. I'm sure that our great Moderator has probably seen or heard of some over the years.
A friend of mine was showing of me his late Model Racing Porche. It had a special suspension that uses a magnetic liquid to adjust it. I would imagine that watch companies have explored using something similar as well.