I use both fast-acting CA glue (like fishead19690's Zap-a-Gap) and a 2-part epoxy, which is probably the same thing that Jeff is talking about. Both have their advantages and specific uses.
I've settled on Hobbytown's own brand for both.
Fast-acting CA (the C is "cyano-", I forget the "A", is it "acetate"?) often is used in conjunction with an accelerator. Zap-a-Gap has one. You flow the glue onto the area to be glued, then spray a quick shot of the accelerator, which contains a catalyst that speeds up the drying time. Though most fast-acting glues dry in seconds, anyway (mind your fingers!)
2-part epoxies consist of a glue and a catalyst, which you must mix, usually in equal parts. They set in about 5 minutes, and take longer to cure to full hardness, so their advantage is that you can make adjustments while the glue cures.
I have read that, in the long run, the fast-acting glues become brittle, so the join might tend to break if the figure falls over. In contrast, 2-part epoxies have been said to have stronger joins that last longer. But we're talking years, decades, really, and I don't know if anyone has ever done a proper, scientific study on either glue's holding power.
Both can be used to fill gaps, too. Fast-acting CA glue can be flowed into a gap, hardened with the accelerator, then sanded and painted. 2-part epoxy can, too, but you want to let it cure fully, before working it.
Hope that helps, prosit!
Bradley