For dry flies I like to use a very fine poly blend of dubbing material such as Fly Rite 34 on the left which I use on my Mr. Rapidan Dry Flies. This material is very fine, making it easy to dub flies as small as a size 24 with a smoothly tapered body. It is lighter than water and is does not adsorb water thus producing a high floating dry fly. This comes in many colors and is inexpensive.
For nymphs and pupa I like to dub blends of natural furs because these produce buggy looking insect bodies. Counter wrapping these bodies with gold, silver, copper or olive wire produces a neatly segmented tapered fly body. However, if you wind the same ribbing materials with a forward motion you can produce an insect body with translucent living appearance.