What is your favorite material for building/modifying trains?

The ultimate solution is to use 3D modelling software and the a 3D printer. A liquid resin printer (often referred to as an SLA printer) is best for small or very detailed parts. An FDM printer (such as the Creality Ender series) that use reels of plastic filament are better for full body shells or large components as well as things like trackside buildings and fittings etc...