Is it best to use PVC or steel conduit on outside of building?

By steel I'm sure you mean EMT conduit (unless you are going to cut and thread). It certainly can be used outdoors but it is pretty much frowned upon because it corrodes so easily and there really isn't much steel there to begin with when it does. Better to use PVC.

As for grounding of EMT, there is no need or requirement as long as it's not likely to become energized. Most times when you are only sleeving LV cables this is going to be true.

I installed an exterior version of CAT5(thicker sheath,shielded and jell filled) about 3 years ago between 2 buildings that had no conduit between them and haven't had any problems.

It's designed for direct burial though I don't think I would want to do it that way unless it was only temporary.

However that is the stuff you would want to pull through buried conduit because the conduit will fill with water eventually.

-Hal

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