I've done this a few times to make new special materials. I almost never just combine the properties of existing specials, for the same reasons Choranzanus gave, but occasionally I postulate the existence of a new alloy that has essentially the same properties.
For example, in my game, I use the concept of Nephelium: a rare ore found in certain special places in the Underdark can be forged as iron, and when finished the steel thus created is transparent. This is a material used in a few offical game books, but I go further. Because Nephelium is created by bathing ordinary iron ore in Far Realm corruption, and the Far Realm in my setting is defined as "that which is outside the multiverse," I gave Nephelium in my setting the ability to behave as a Ghost Touch item- nonmagically. The idea is, the dimensional tear and bleed from the Far Realm makes the material exist on multiple planes at once, which explains both its transparency (the light gets through because it's literally "not all there") and the fact that it can affect objects on multiple planes/levels of existence at the same time.
In light of that concept, for my Epic game I created a new material, supposedly invented by the last full civilization in the world to make a serious study of the Far Realm. What they called it is unknown in the game right now, but for the PCs I dubbed it "Reinforced Nephelium." Essentially, it is to Adamantine what Nephelium is to ordinary steel. It not only has all the desirable properties of Adamantine, like Hardness penetration and the DR granted to armor wearers, but also the "natural Ghost Touch" property of standard Nephelium. Finally, its interdimensional nature gives it one more benefit- the ability to sometimes just ignore damage dealt to it. An object made of the stuff has a 50% miss chance applied to any successful attack against it. Obviously this stuff is monstrously expensive; also, I decided that simply bathing what amounts to adamantine ore in Far Realm corruption isn't enough- there's a secret process involved which was lost with the now-dead civilization that discovered it. But I haven't decided what that process is, yet- anyway it's most likely irrelevant to the game.