Short version is: everything from vacu-formed ABS plastic, to cut and heat-formed sintra (foamed PVC sheet) that individuals do for their own costumes, to slush- or roto-cast resin, to hand-laid fiberglass, to rondo (mix of fiberglass resin and bondo) reinforced cardstock or thin cardboard, to worked metal (everything from stainless steel to aluminum to mild steel to even titanium).
Much depends on whether you're looking for advice/inspiration for your own scratch-build, looking to outsource one or another component that you don't have the time or space or resources to make yourself, or just buying outright to save hassle and headache.
--Jonah