It all starts with a master, for a fiberglass/resin one you can make it out of anything from clay to cardstock. Once you have the master you need to mold it with a silicone rubber, I recommend Rebound 25 from Smooth-on. From there you make a jacket for the rubber either from fiberglass, Plasti-paste from Smooth-on, or plaster bandages. Then you are ready to cast, lets say it's a helmet, you can get a good roto-casting resin from Smooth-on, google how too roto-cast.
Now that is the more expensive way to go, if you just want to make one then I would suggest some Pepakura files from Skip, his are what I consider the Best of the best.
Then there is vacuum forming, I do not know much about this so if anyone out there wants to give tips please do so.