What are costumes made out of?

This depends very much on the kind of costume you want to make!

The great thing about costumes is that they're vastly multi-media pieces of work. Almost all costumes involve fabric of some kind. But they can also use foam, wire, stuffing, plastics- anything from felt to metalworking. Just like art, there's no true "right" way to build a costume. (Although, some methods will be stronger and more comfortable than others!)

If you want to learn how to build something specific, forum websites and tutorials on YouTube are both extremely valuable resources. Hope this helped!