Polycaprolactone (PCL) is a boil-to-soften plastic that's hand-moldable, which makes it very useful for hobbyists. It's sold under many different names like Polymorph, Shapelock, Instamorph, TechTack, etc.
Few other plastics have a similar softening temperature range that allow it to be so easily shaped using basic home tools. (hot glue is one, but PCL is far firmer than hot glue after they both cool, and IMHO PCL is all-around a stronger and more secure product) (PCL does require a staking technique to make it bond well to other materials, while hot glue has inherent adhesive properties, but staking results in a much stronger bond)
PCL sticks to nearly everything when it's hot. It's not really sticky when cool, but it's still useful to know what materials it sticks less well to when it's in a more malleable temperature range:
Pigments / dyes / colors:
Webpages that discuss techniques: