You can also vacuum form some foams. I make stuff out of EVA "craft foam"---the colored foam they sell at craft stores---and it's easy on regular homemade gear using a kitchen oven. (One tip, though---it has a fairly low thermoforming temperature, and it doesn't ever sag.) I use 2, 3 and 4 mm craft foam to make form-fitting flexible rubbery masks. The 2 mm foam is very cheap, and makes a very flexible form-fitting mask that fits like a glove if you form it over a life cast of a face. The 3 mm is 3 times stiffer, which is good for masks with not-form-fitting parts, and the 6 mm stuff is several times stiffer than that. (Stiffness is proportional to the cube of the thickness, so doubling the thickness makes it 8 times more rigid.) I've also vacuum-formed 10 mm lightweight EVA foam from a camping mat, with no problems. (Naturally, it rounds shapes out quite a bit, to about a half-inch radius.)
Recently I tried vacuum forming some 1/4" thick plastic which I think is Sintra or Celtec or something similar, which I got from the dumpster behind a plastics place. (Sintra's a slightly-foamed rigid PVC-and-something-else blend plastic, about half the density of solid plastic, usually used for signage.) I did manage to vacuum form it, but burned the surface in places a bit. I need to refine my technique some, but I think it will work great after a couple more tries. I made a mask out of the 1/4" stuff, and where it wasn't a little burned (a streak of tiny zit-like bubbles) it has a beautiful glossy very-finely-textured surface. It is also strong enough to stand on.
I think the Sintra-type stuff is going to turn out to be very useful for making fairly strong objects like equipment housings and maybe paintball masks. It's dense enough that it's not fragile, but because it's not TOO dense, you can make thicker and therefore stronger things out of it, without it being ridiculously heavy. (Halving the density lets you make it twice as thick and therefore considerably more rigid for the same amount of plastic, while still having a fairly hard surface which is nice in itself, and can take paint well.)
I'm going to have to get some 1/8" Sintra... that should be a breeze to vacuum form. (At least with a high-vac system.)
Another plastic that people use is polycarbonates like Lexan. That's the stuff that CDs and DVD's are made of (and expensive non-disposable water bottles). It's very tough stuff. People use it to make RC car and truck bodies, among other things, because it can take a lot of abuse.
You can buy various-sized sheets of acrylic (Plexiglas, Perspex, and Acrylite are some of the brand names) and polycarbonate (Lexan et al.) in the glazing department of a home improvement store like Lowes or Home Depot. It's not really cheap, though---if you're going to use much of it, you're better off buying bigger sheets from a plastics place.
If you're experimenting on the cheap, try hitting the dumpsters behind sign shops, small plastics places, and maybe places that make custom windows.
Some people also vacuum form polyethylene and polypropylene, but I've never tried those. (Polyethylene is the stuff that a lot of recyclable drink bottles are made out of, that's milky white.)
Some people vacuum form thin rigid sheet foams, like thinly-sliced Styrofoam. (The blue fine-textured stuff, or the pink Owens Corning equivalent, not the coarse white bead foam, which will come apart after you heat it.) It's apparently somewhat tricky, but I intend to try it.
One of my favorite plastics is suspended ceiling diffuser panels for fluorescent lights---2 x 4 sheets of textured styrene or acrylic. The clear "cracked ice" texture is just beautiful, and the "white mist" (if you can find it) is a nice fine-grained texture for translucent stuff. (Like making light diffusers.)I was also wondering what objects are made of this type of plastics, lying around the house. I wanted to experiment a little with plastics I can find before purchasing large sheets. I have read that you can form your own sheets in the oven, but I am not sure which plastics to use.
If you form those textured plastics over a positive buck with the flat side out, you get a muted version of the texture coming through on the outside, so you can get surfaces that are smooth but randomly irregular, like beaten metal.
If you want to make small, clear things, you can use 3-liter pop bottles. They're made of PETG, which is easy to vacuum form. (People use them for model airplane cockpit canopies and sometimes nose cowlings.) If you cut the ends off a 3-liter bottle and split it at one of the mold marks, you can unroll it and get a nice little rectangle of PETG about 6 inches or so by 13 inches or so. (With an unfortunate mold mark right across the middle.) Let the PETG dry for a couple of days if the bottle recently had liquid in it.
Another source of small clear plastic---usually clear PVC, I think---is packaging. Look for the big blister packs for various consumer items, which often have a flat piece for the back. (Or the lids to boxes like greeting cards come in.) If you decide you like the stuff, though, it's worth buying in big sheets from a plastics supplier. (Thin stuff is not very expensive per square foot in 4 x 8 sheets from a plastics supply place. Once you're buying big sheets, you're mostly paying for the actual material, not the sheet, so the cost is roughly proportional to the thickness of the plastic)