Yeah, I just looked at it as a color option (while also often being cheaper than stainless) before noticing that many of the black ones arrive oily, which apparently prolongs the corrosion protection of the oxide quite a bit, but makes handling them much less pleasant (touch a screw, then your keyboard, your cat, your food...). I'll use them indoors only, but I live close to the ocean, so it could become an issue.
Then someone pooh-poohed stainless because of galling, which I had never heard of before. Though I've heard of cold welding because of Blue Jeans Cable, which seems related.
So it seems like maybe zinc plated/galvanized steel is the best option of the three, but who knows what weaknesses I have yet to stumble upon there (happy to benefit from the experience of others here). They also come at a considerable premium.
Luckily this is all just for my own hobby builds and jigs, so not too big a deal, but I'm inclined to avoid black oxide in the future despite them going well with wood ebonized with india ink.
I do like the look of yellow zinc finished screws, though.
With unlimited funds I'd be tempted to go for anodized titanium.