GaN-based light emitting diodes (LEDs) as the third generation of lighting devices, have been rapidly developed in recent years. Substrate materials, serving as the LED manufacturing basis, have great influences on the production and application of LED. The critical characteristics of substrate affecting the design and fabrication of LED are its crystal structure, thermal expansion coefficient, thermal conductivity, optical transmittance, and electrical conductivity. In this paper, we compare several common substrate materials, namely, sapphire, silicon carbide, silicon, gallium nitride and gallium oxide, review the research progress of the substrate materials in the aspects of high quality epitaxial growths, high performance device designs and preparations of substrates, and comment on their further development.