We all occasionally have to replace a tool handle, be it an axe, a shovel, a sledge, whatever.
The standard handle materials seem to be hickory and ash. I've bought my share of hickory handles from hardware stores and have no issues with them. I use ash for lathe tool handles and have used it for file handles as well.
Recently I made a hatchet handle out of osage orange (hedge). Historically, osage was used for bows in the southern US, and I've heard legends that an osage bow was worth a horse and a blanket (that's just hearsay, don't quote me on it). It seems to be holding up well, as I would expect from a dense, springy wood. Also, I expect the hatchet head to rust out before the handle rots due to osage's extreme longevity.
One website states that hickory and ash are really the only (US domestic) woods worth using. I've thought about trying black locust, also due to its rot resistance and toughness, but this is not readily available in the Chicagoland area. Another forum thread discusses suitable woods in terms of vibration transference. This website also seems to suggest using whatever is available locally and not worrying too much.
So, what other woods are suitable for tool handles based on your experience? Sometimes, you just get better results making your own handles than buying them at the store, so knowing which species work (and which species last under use, abuse, and time) would be very helpful. Note that I am more concerned with "long" tool handles, not so much short ones like one would see on a plane or a screwdriver.