Believe it or not, all 2D elements (even in their default state) are drawn using a shader—albeit a specially written shader designed to light and draw the sprite in a very specific way. If you look at the player sprite in the inspector, you will see that it uses a special Material called Sprites-Default, as shown in the following screenshot:
Note
This section is purely meant to highlight all the shading options you have in the 2D system. Shaders have not changed much in this update except for the addition of some 2D global lighting found in the default sprite shader.
For more detail on shaders in general, I suggest a dedicated Unity shader book as it is more than I can cover here.
Clicking on the 
button will bring up the material selector, which also shows the two other built-in default materials, as shown in the following screenshot:
However, selecting either of these will render your sprite invisible as they require a texture and lighting to work; they won't inherit from the...