Shapelock is "Ultra-High Molecular Weight Low Temperature Thermoplastic. Similar to nylon and polypropylene in toughness., except it's easy to work with and shape."

You get a bag of plastic pellets, put them in 160F water, and they phase change, becoming soft and moldable. If you don't let the water get too hot, when you take the plastic out, it's cool enough to shape with your hands.

When it cools down, it hardens into a strong, durable, paintable, machine-able white plastic. If you don't like what you made, you just put it in 160F water again and reshape it.

Great for making prototypes - also fun to play with.

-- Patrick Tufts

Shapelock
$15 for 250 grams

The same stuff, under a different name (Friendly Plastic), is available in larger quantities, at a slightly cheaper rate.
$42 for 793 grams
Sculpt