There's woods - pine, balsa, yucca, hardwoods... Leather, plastic or wooden beads, many different plastic shapes, paper, cardboard, paper string, plastic string, seagrass, sisal rope, cotton rope, plastic chain links, corn husk, corn cob, palm leaf, wicker, rubber, metals made of either stainless steel or nickel plated steel (which is most metal in bird toys that aren't stainless). The list goes on... Those are some examples I thought of off the top of my head.
How about taking a look at this great online site that many of us here LOVE!
My Safe Bird Store | Discounted Bird Products | BIRD FREE ENVIRONMENT| Free Shipping Available They sell toy making parts. You can browse through the great selection of premade toys, and get some good ideas.
Toys don't even have to be elaborate or look "pretty" for a bird to love. What's important is that you only make toys out of bird safe objects, and find out through experimenting what your bird likes best. Some individuals don't chew wood, some love bells, some like soft texture, some like hard objects, most love shreddable materials.
Also to keep in mind... Avoid making any loops that are about the size that they can potentially get their head in and caught or tragically strangled.
Have fun! As you get more familiar with it, you'll be able to get more creative. Many of us get some good ideas by looking at store bought toys.