This article is from the Miniatures Painting FAQ, by Brenda Klein firstname.lastname@example.org with numerous contributions by others.
The common miniaturists glue is Zap-A-Gap, available at nearly all
stores which sell paints. It's thick, holds well on both metal
and plastic, and fills gaps and cracks. Also of this type are a
line of cryanoacrylates which come in various-coloured bottles,
each coded to its type, and a blank space for the local store's
name or Wargames West (in the US, of course). Super glue is often
used to join pieces; it dries brittle and a good drop might snap the
connection. Its redeeming feature is speed of bonding. Epoxy is
excellent for permanent bonding and building up areas when
modifying. The bonds it makes don't break when jarred, and almost
nothing will remove it once it has set (the author has never heard
of set epoxy being removed, but refuses to use absolutes and be
later proven wrong). Epoxy also comes in different formulas for
different materials. Duco cement is a good all-purpose bonding
agent. White glue, such as Elmer's or Aleen's Tacky, is good for
adhering paper and groundcovering to plastic and metal surfaces.
White glue does fatigue, however, so if it is used, a sealing agent
overall will help keep your pieces together.
For building up areas and the like, nothing beats ribbon epoxy.
For more information on cryanoacrylate see section 7.A.a. above.