Hobbyists often vacuum form acrylics (like Plexiglas), polystyrenes, polycarbonates (like Lexan), and PETG.
There are a lot of other kinds of plastics that can be vacuum formed, such as polypropylene and PVC.
Most of these things are fairly easy to vacuum form on a fairly simple home machine in thicknesses up to about 1/8". With a reasonably well-designed oven and a decent vacuum source, it's common to vacuum form plastics 1/4" on homebrew hobbyist machines.
Some people (including me) vacuum form foams. I've been playing around with vacuum forming EVA foam, which is a rubbery plastic foam (sold as "craft foam" in small sheets in craft stores). Some people (not me, yet) vacuum form extruded polystyrene (rigid) foams.
The mask on the left is 6mm EVA foam; the one on the right is 2 mm (I think). The one on the left didn't pull down very tightly, using only a shop vac; a high vacuum system does much better. (Although the thick foam still tends to smooth things considerably).
This one is acrylic---a piece of textured fluorescent light diffuser (over the white plaster buck it was formed on):
(The green cast is an artifact of fluorescent lighting, but I like it.)
Here's the same one over the black foam one, in better lighting: