Polythene used to be the industry standard. All the original Airfix, Matchbox, Atlantic etc. figures are polythene. I think Britains Deetail were/are PVC. Older Timpo Action-Pack plastics had chalk blended in for better paint adhesion but they became very brittle over time. I think AIP are polythene.
My favorite plastic for toy soldiers has to be the kind used by Conte in the earlier sets which were made in Canada. It's very solid, and the body of the figure is quite dense and hard yet the tips of weapons are flexible. I think it's the same plastic used to make the removable drink holders in our truck. I've never tried painting any figures in this plastic, so I don't know how it holds paint, but for durability it can't be beat. TSSD plastic is good but you can get some breakage on weapon tips.
I HATE any figures in hard "model kit" plastic. I haven't bought any of the reissue Airfix sets because I've heard they are made with some kind of brittle resin material. I do have a few Barszo figures in resin. I love the sculpting and they are beautiful figures but I've had to make several repairs on muskets. Definitely not suited to my "dump them in a shoebox" method of storage.
I have bought some Star Wars Command figures recently since they are going real cheap now and they are in a nice flexible PVC. Sort of a denser version of the Britains Deetail plastic.