I'd recommend the following in addition to those already mentioned -
Milliput - An epoxy resin filler designed for model making and is better and cheaper that DIY shops equivalents. Comes in 2 plastic bags, mix equal volumes of the 2 parts.
Benefits - sets in 3 hours at room temperature(placing it close to an anglepoise light will reduce this to 30 minutes or so), Can be worked with wet tools like clay, will support its own weight so can build up thick layers without sagging, does not get hot whilst curing, once set it can be drilled, sanded and machined, it will resist temperatures up to 100 degrees C, resists most chemicals, does not shrink or crack. It is totally impervious to water.
Drawbacks - does not stick to plastic very well, considerably more expensive than car body type fillers.
Variants - It is available in a basic green colour, white, terracotta, and silver grey. I've only use the first 2, I prefer the first as it is difficult to ensure the white is properly mixed and it is stickier and harder to work.
It is good for things which need sculpting like figure heads.