Let's call them the Big Three: fondant, gum paste and modeling chocolate. You probably know they're super important for decorating cakes, but you may be a little fuzzy on what they are, exactly. Here's a quick rundown.
Rolled fondant is the kind you usually use to decorate a cake. Pliable and dough-like, it's made with sugar, water, gelatin and food-grade glycerine. When it's draped over a cake, its smooth appearance creates a polished look.
Gum paste is made with egg whites, confectioners' sugar and shortening. Like fondant, it's pliable and dough-like; unlike fondant, it dries quite hard. That's why it's better for molding into shapes ( like these gorgeous sea urchins ) than for covering an entire cake. (Imagine the cracks!) You can roll it very thin, so it's fabulous for making hand-modeled flowers or other intricate decorations.
To make this chocolate paste, you melt chocolate, combining it with corn syrup or simple syrup, then kneading the result until stiff and pliable. Then you can mold it like clay. Modeling chocolate is harder than fondant, so it's better for making certain kinds of shapes. You can start with any kind of chocolate, but if you want to add a fun tint you probably want to start with white chocolate.
Now take your Big Three and go off and make something amazing!