HowStuffWorks is a cool Website.
I thought I heard they used Platinum (hence the high cost), but according to HSW...
The converter uses two different types of catalysts, a reduction catalyst and an oxidization catalyst. Both types consist of a ceramic structure coated with a metal catalyst, usually platinum, rhodium and/or palladium.
They have an interesting article on their site stating that while CCs do help reduce smog, they might actually be increasing the "greenhouse effect". Hmmm... try to fix one thing (smog), break another (global warming); sounds like me working on a car :-/