Fused Deposition Modeling (FDM) printers use a thermoplastic filament, which is heated to its melting point, then extruded to create layers which then build an object. There are many different types of FDM printers. Some use a modeling material and a support material, some just use a modeling material which when creating support will use a different style of layering that allows the filament to break off easily, some are able to use multiple filaments at once allowing for multicolored objects to be created.
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Both Stratasys printers (Dimension and F370) use soluble support filament (the support filament dissolves in a heated sodium hydroxide bath), the Prusa printers use only a model material, and the Markforge printer only uses model material as well (however it will layer another filament for extra support).
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The filament for these printers comes in spools (basically thin plastic ropes that are wound up). The filament is fed through an extruder head, heated to the desired temperature, then extruded (similar to what happens with a hot glue gun).
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FDM printers can work with various materials, in the Prototype Lab we mainly stick to ABS which is used by the Stratasys machines and PLA which is used by the Prusas. The Markforge uses a material called Onyx (nylon and plastic mix) and will layer in another filament such as Carbon Fiber, Kevlar, etc.