The items we sell on Etsy are made out of Styrofoam. I really enjoy working with it. Styrofoam is best cut with a hot wire, which melts the polystyrene, creating a smooth edge. STYROFOAM Crafts has tons of ideas for crafts using the material. Click on Projects to see what you can make.
Of course you don't have to cut it, you can use the ready made balls and cubes sold in all craft shops.