Okay....control arms (links) it is. Man, I just realized you may be asking about A-arms....I'm not the guy for that question. Don't know much about that....so I'll stick to the links.
First thing to consider when talking control arms is material selection.
Personally, on ANY rig I wouldn't consider anything lighter than .250" wall DOM or Chromoly tubing.
There are a LOT of cheap bastids out there that will try and use heavy wall pipe, square seamed tubing and the like. Pipe and tubing are
NOT the same thing. Pipe is sized and measured by ID, tubing is measured by OD. (Oh, and if I abbreviate something and you don't know what it is....please ask...ID is inside diameter, OD is outside diameter). Yes, pipe can work....but to hold up to heavy use, you have to usually make huge compromises in terms of overall diameter to get the strength from the low yeild strength of pipe. I've even seen guys use cheaper HREW tubing (hot rolled electric weld aka mild steel) for links (aka "control arms") and then try to reinforce them by welding angle iron to the bottom to help stiffen them when you drag them across rocks. Or, they'll stuff smaller and smaller OD pieces of tubing inside the larger piece of tubing to try and strengthen the link. It only delays the inevitable.
ANY of these ideas are bad ones. Why?
Picture what will happen if a link fails for ANY reason, be it a SRE (spherical rod end aka heim joint) breaking, a link buckling, or the threads pulling out of the end. The axle will immediately and with unbelievable force "walk" itself forward on one side and backward on the other if the vehicle is under load. When this happens in the rear for example, the rear driveshaft can be driven right into the tcase busting the main output shaft along with all kinds of other things inside the case itself. Same with the pinion shaft on the rear axle. B/c of the impact, the pinion gear can be sheared. Also, the driveshaft itself can easily be rendered useless and any coilover on that axle is likely to bend the shaft making an expensive and complicated rebuild necessary. In short, you want to avoid a link failure AT ALL COST. Getting off the trail with all those or even a few of those parts busted can be a major event.
So, what's the best thing to build your links out of? Well, it depends (as with most anything else). If you're going to really make the strongest link possible, heat treating is your best option. The problem is: DOM (drawn on mandrel) tubing cannot be heat treated. It's still a form of mild, seamed tubing. It's harder and more dimple resistant than HREW, and has a small amount of "memory"....meaning it can be bent a certain amount and still "bounce back" to its original shape.
By contrast, un-heat treated 4130 Chromoly isn't really much stronger than DOM until it's heat treated. It does have better memory, has a harder outside 'casing' and is usually about 20% stronger than DOM when it's not treated. The real advantage to using 4130 Chromo is that once it's heat treated, it can be 4 times stronger than DOM and is even stronger per lb. than an exotic and expensive Aluminum link made from aircraft grade solid 7075.
Eventually, I'll post up a link to the 3 and 4 link calculators that will give you yield strengths and bending moments for whatever material you want to use.
One word of caution with 4130 Chromo....don't heat treat it past 40Rc (rockwell C scale). It becomes too brittle and will actually fracture if heat treated above that point very far. Usually a good heat treat place can get it within 3 points on the Rc scale. They usually have a flat rate for set up....here it's $95 and then 15-30 cents per pound. You can end up doing 8 links for about $150 around here assuming you don't need to anneal them as well....which adds another $95 onto the price.
I should probably explain why and when you anneal something.
There is a good reason to spend a LOT of money on your SREs. If they fail....well, I already explained that.

My recommendation is buy nothing but the biggest ones you can possibly afford. Scratch that. Save up to buy the biggest ones they make. That's generally a 1.25" shank by 1" bore SRE. They make them in all kinds of varieties. Some are chromo body, some are a mild steel. Every single failure of a SRE I've ever seen was b/c the body broke and essentially "peeled" away from the "ball". Spend the extra money on a chromo body. They are generally rated about 1.5 times higher in RSL (radial static load) than their mild steel counterparts.
RSL is the best method to determine strength. The problem is: only true metal on metal SREs can withstand the test without deformation. Pseudo-SREs like Rubicon Express Joints, Currie Enterprises Johnny Joints, Jimmy Joints, the massive EVO joints (basically all the rebuildable joints that use a teflon or polyethylene bushing to reduce shock loading) can't withstand much of a sideload without having the shock reduction device (usually polyethylene) deform. So it's very hard to get an accurate gauge on the strength of these joints.
That doesn't mean you shouldn't use them. Actually, they are highly desireable b/c they can be rebuilt, they are quieter on DDs (daily drivers), and if you get good ones, they will be more than strong enough.
I'm not sure if Currie is still using this method of retention, but if they are....skip them. They used to use a snap ring to hold the bushings in. When sideloaded even a small amount, they'd pop the snap ring, the big retaining washer and then the joint and the whole thing would come apart. Not pretty.
RE joints by comparison, used a screw in washer that threaded directly into the body. Those are a much better design.
If I were making a recommendation on which SREs to use....my vote would be the EVOs. They are HUGE. 1.25" shank by 1" bore. They come with misalignment spacers/reducers and are about $70 a piece (last I checked). They also have the advantage of having a shank already cast into the housing. EVOs:
http://www.pirate4x4.com/tech/billavista/PR-Joints/IMG_2119_small.jpg
The RE joints and Currie Johnny Joints (JJ) have to be welded to the end of your fishmouthed links. Welding in that area, to the fishmouth *could* be a failure point as it does receive a good load when you wheel. here's a pic of what I'm talking about in terms of the fishmouth/body junction:
http://www.pirate4x4.com/tech/billavista/PR-Joints/IMG_2189_small.jpg
If you want regular SREs, again 1.25"x1" are the size that will hold up the longest and be the strongest. Chromo bodied ones are rated at 77K lbs RSL. When I bought mine, they were about $70 a piece but you still had to buy misalignment spacers/reducers and jam nuts. Misalignment spacer:
All this brings me to the point I'm laboring to make.
Since I'm recommending such large SREs (1.25" shanks), you need a fairly good sized OD piece of tubing. The minimum I'd consider on the lower links is 2"x.250 wall. Uppers minimum would be 1.75"x.250" wall. There is nothing wrong with going to a heavier wall...I know lots of guys running .500" wall....you just have to have machine work done to open the ID enough for a threaded tube insert/adapter or open it enough for 75% of the thread for a 1.25-12 tap. There's nothing wrong with bigger OD....you are normally limited in this aspect by what you can fit under your rig. The bigger the OD, the stronger the link even with slightly thinner wall thicknesses. You will likely have to have the ID of the 1.75" tubing opened up to use a standard size threaded tube adapter. Take it to a reputable machine shop to have this done....the fit should almost be a press in...wait to drill any rosette holes until AFTER the machinist has bored the ID out to your threaded tube adapter size.
This brings us to annealing. You have two common options to "thread" the ends of your links. You can drill and tap the end or you can buy what are called "threaded tube inserts/bungs"
and weld them into the ends of the tube. Most folks don't have lathes big enough to handle 2" tubing and right and left hand taps for 1.25-12 thread pitch are very expensive and rare...so most guys use the weld in threaded tube inserts.
The 'proper' way to heat treat a link with a welded in threaded tube insert is to first drill a few pilot holes in the ends of the link so you can rosette (aka plug) weld the threaded tube insert to the tube. Then you'll complete a weld pass around the circumference of the threaded tube insert. (Sidenote: always weld the insert into the tube with plenty of lube on the threads and it's also a good idea to have a right and left hand 1.25-12 bolt threaded into the insert so that any heat won't distort the threads from welding).
The problem is: most threaded tube inserts are not 4130 chromoly. They are 1026 DOM...so the metals are dissimilar. In order to "normalize" the two metals to one another before heat treat, they must be annealed.
Now, while this is the 'proper' way to do it. You don't have to. I'd recommend it as it's the strongest way and is only about $100 more for something that will last a LONG time if done right the first time.
The other way to do it is to go ahead and pre-drill your rosette weld holes in the ends of the tube (it's a b!tch to do this after they are heat treated to 40Rc b/c it's so surface hardened). Take the tubing to your heat treater and have them treated. Then, come home and weld in the bungs. If you do it this way, you loose the heat treat at the very ends of the link, but it isn't really that crucial since the bending moments are in the middle of the links; not at the ends.
I went through this all really fast. I may need to do some editing to make everything right. Please ask if you have questions.
Sean
PS.
Poly Performance.com - Fox Shocks, Donahoe Racing, Beard, CTM, Currie Enterprises, Edelbrock, total Chaos, Ramsey winch, Walker Evans, Wilwood, Mastercraft, and more... is a GREAT source of parts for things like SREs, tube adapters, reducers, misalignment spacers, coilovers, lockers, axle shafts and the like. Great service too. Prices are a little higher than at other places but you get better tech advice so it's worth the extra $$$.
PPS: article on SREs....including EVO, RE and another joint:
Pirate4x4.Com - Extreme Four Wheel Drive