Polarlite

Fluffy, fleecy stuff also called Polarplus and Synchilla. Comfortable. Incredibly warm, especially under something that breaks the wind. Doesn't wick moisture out very well. Breathes very well.

Supplex (nylon)

Comfortable. It is breathable and water repellent (but not water proof). Seems to absorb a small amount of water if it is really getting drenched.

Merino (wool)

From a "breed of fine-wooled white sheep originating in Spain and producing a heavy fleece of exceptional quality." I guess you could treat this as normal 100% wool. Wool has been used in the past because of its wicking abilities, but compared to current artificial fabrics, wool is hard to recommend.

CoolMax

When there's lots of wind to keep the fabric wicking, it can be cooler than bare skin. While DuPont advertises it as a revolutionary wicking material, if it's hot and you're being active in still air, you still get somewhat sweaty. It's water-resistant (rain beads to an extent), and it keeps you warm even when you're inactive in the cold. It's only slightly stretchy, fuzzy and comfortable as everyday clothing (if you don't mind the spandex look).

Dacron

Trademark name for Dupont polyester. Woven fabric made from dacron is similar to nylon ripstop or taffeta, but not as stretchy. Many of the better clothing insulations are made from dacron. They are usually refered to by more specific trademark names, like quallofil, hollofil, polarguard, and dacron-88.

Lycra

Used for its stretch and aerodynamic smoothness, mostly a warm weather (>65 degrees) thing. It's machine-washable and doesn't absorb much moisture. Be careful with it, though; it is usually very thin on bike clothes, and snags easily.

GoreTex

A teflon based membrane with microscopic holes. Gortex's claim to fame is that it will let water vapor (from perspiration) through, but not liquid water (rain). It blocks wind fairly well too. The membrane is delicate, so it always comes laminated between 2 layers of other material. It does not breathe enough. There are less expensive alternatives.

Polypropylene

Does not wick very well; in the rain, the material actually gets wet. It's nice and stretchy. Can be uncomfortable, as it's smooth rather than fuzzy. Troublesome to care for (e.g. can pill badly). Will keep you fairly warm even if soaked. Not very wind resistant. Melts in the dryer.

Thermax

An improvement on Polypro. The big advantage is heat resistance so you can put it in the dryer. Balance that against the extra cost.

Capilene

Wicks moisture away. Very comfortable. Comes in different weights for more/less warmth. There are many favorable attributes, except the cost.

60/40 cloth

This is a cloth with nylon threads running one direction, cotton in the other. It was the standard wind parka material before Goretex came along, and is considerably less expensive. Good wind resistance, fairly breathable. Somewhat water resistant, especially if you spray it with Scotchguard, but won't hold up to a heavy rain. But as far as I'm concerned, nothing containing cotton should go near a performance athelete.