Wood, and copper. Sometimes tin. Sometimes copper- or tin-lined wood. Mostly wood and copper. Though gutters maybe weren't as prevalent as you might think--lots of houses just don't have them at all.

Source: have worked on houses built as far back as the early 1800s.

In England, in Victorian times, before the availability of aluminium, gutters were almost always made of cast iron.

http://www.gutter.co.uk/index.php/what-we-have-forgotten-about-victorian-gutters-and-drain-pipes/