This stuff.
Also, the material doesn't have to be nonmagnetic to shield from magnetism. The mechanism used to move the arms/heads of your hard drive contain at least one extremely powerful NIB (Neodymium Iron Boron) magnet. These magnets are held in place by metal shielding (I think it's nickel plated steel). While the magnets are glued to the shielding, they will not attract anything ferrous through the shielded side (and won't erase your data

). However, if you remove shielding, the magnet will attract it (the shield itself)!

I believe it has to do with the shape of the shielding and the makeup of the steel.