There are quite a few different material option available for FDM 3D printing. Each ranging from durability to flexibility to price, to ability to print. Two most commonly used materials are PLA and ABS.

PLA (Polylactic Acid)
PLA is biodegradable (non-toxic) material (under the correct conditions) thermoplastic derived from corn starch and the most cost effective material to print. It works for wide variety of 3D printing applications because of ease of use. PLA is not as sensitive to temperature changes. Parts printed with PLA have great surface quality. While PLA has very high tensile strength. Its low elongation and can deform at 120oF, make it a very brittle material at ploughing field. This is why PLA is not suitable for parts that will undergo a lot of wear and tear or being expose to elements for long period of time. It has small shrinkage rate, making it perfect for large parts molds and prototypes.

ABS (Acrylonitrile Butadiene Styrene)
ABS is much more mechanically strong material due to its high glass transition temperature and bend before breaking. ABS is toxic material  It is more tricky to print with, because it is more sensitive to temperature changes in the environment. That why it need a full inclusion and heated bed plate. ABS needs to cool slowly, otherwise if it cools too rapidly your ABS print can crack along layer lines. Also ABS prints are much more susceptible to curling and warping during the printing process. In general ABS can withstand more heat pressure and stress better than PLA making a much more suitable plastic for wear and tear applications. Legos are made of ABS and this is go to material for the majority of mechanical applications. ABS can also be acetone vapour finished since it is soluble in acetone. The process cost more but it would make your part much more water like surface and give shine which it comparable to injection mold quality. Neither PLA or ABS are flexible plastic, ABS will distort and bend before breaking. While is more brittle and will break under stress. PLA can handle more weight before breaking.

Polyethylene terephthalate (aka. PET, PETE, PETG) is a plastic resin of the polyester family that is used to make beverage, food and other liquid containers, as well as for some other thermoforming applications. Its similar strength property as ABS yet it more chemically resistant and extreme high strength filament and can achieve very sturdy and strong prints. It has very low shrinkage, making this perfect for larger flat surfaces. It’s more flexible than PLA or ABS. PETG is also very strong, it’s not brittle but can be scratched more easily than ABS which is harder. PETG is a clear amorphous thermoplastic that can be injection molded or sheet extruded.

Polycarbonate ABS, which can handle much high glass transition temperature than ABS.

Nylon, quite strong and some even FDA approve
Carbon fibre reinforce nylon
Wood
Thermoplastic Polyurethane (TPU)
Metal
Glow-in-the-dark
Polyvinyl alcohol (PVA)