http://sugru.com/

Sugru is a new substance that is silicon with a few secret ingredients so that you can form it, it "dries, and it is useful for many things. Watch the video on the sugru website.

Unfortunately, sugru costs a whole lot for a small amount. Fortunately, the people at Instructibles came up with an alternative:
http://www.instructables.com/id/How-To-Make-Your-Own-Sugru-Substitute/

This is, at its essence, silicon with corn starch, that you can mix at various proportions for various results.

We have played before with cornstarch in "Gakology." Have a look at this page for an interesting video of walking on cornstarch and water.

So here are the instructions for making Oogoo. While the author has a bunch of different ingredients, such as Gorilla glue, in essence this substance is silicon and cornstarch, so these other things are not necessary.

http://www.instructables.com/id/How-To-Make-Your-Own-Sugru-Substitute/

That writer also includes a comparison of Sugru and Oogoo:
http://www.instructables.com/id/How-To-Make-Your-Own-Sugru-Substitute/step14/Comparison-of-Oogoo-and-Sugru/