I want to start modeling figures and I've recently asked a question about fondant/gumpaste, but I was wondering:

What are all of the modeling methods out there available? Are fondant and/or gum paste my only options?

Modeling chocolate is also a good option.

I have used marzipan with tylo powder added to it and have had good results... You can buy White marzipan and colour it.

There are a couple of fun options aside from fondant and gum paste. I really love working with marzipan, it doesn't dry out as fast and it holds its shape beautifully. Modeling chocolate is fun too, very pliable and forgiving.