The most common methods for creating prototype parts are stereolithography, selective laser sintering, fused deposition modeling, 3D printing, CNC machining and rapid injection molding. Here are the pros and cons of each process.
Stereolithography (SLA) is an additive fabrication process that builds parts in a pool of UV-curable photopolymer resin using a computer controlled laser. The laser cures a cross-section of the part then lowered just below the surface of the liquid resin and the process is repeated until the part is complete. More on SLA.
Selective Laser Sintering (SLS) process uses a laser to build parts by fusing powdered material layer by layer from the bottom up. SLS parts can be accurate and more durable than SLA parts, but the process leaves a rougher finish with grainy or sandy feel.
More on SLS.
Fused Deposition Modeling (FDM) process builds parts with a print head that deposits a filament of extruded resin for each cross section of the. ABS or PC parts tend to be stronger than some other processes, but are sometimes porous with a stair-stepped or rippled finish. More on FDM.
Three Dimensional Printing (3DP) uses an inkjet head to lay down a thin layer of plaster powder which is solidified by spraying tiny drops of water. The process is fast and it is easy to incorporate colors into the finished object, but parts are relatively weak and have a rougher finish. More on 3DP . . .
Poly-Jet (PJET) uses inkjet heads to jet a UV-curable material in very thin layers at high resolution. Each photopolymer layer is cured by UV light immediately after it is jetted. The gel-like support materials are able to support complicated geometries but the parts are weak in structure. More on PJET.
With CNC machining a solid block of material is clamped into a mill and cut into a finished part. This method produces superior strength and surface finish to any additive process and allows a wide range of material choices, but there are some geometry limitations.
More on CNC machining.
Rapid Injection Molding (RIM) is the same process as production molding, but done with a "rapidly" produced mold often made of aluminum. Molded parts can have all the properties of production parts, but the upfront costs of RIM are higher because of the need to produce tooling. More on RIM.