Polycaprolactone is a low-melting, hand-workable, polyester thermoplastic sold under various brand names such as Friendly Plastic, Instamorph, and Polymorph.
At working temperatures, it is clear and colorless with a stretchable, putty-like consistency. At room temperature it is opaque white, tough, and rigid. Thin cross-section pieces have some flexibility, and it can be drawn out or formed into flexible rods, threads, sheets, or other structures.
Amongst domestic small-quantity suppliers, Sparkfun seems to have the best prices: