One further thing to bear in mind is that the car body fillers mentioned are generally quite "sloppy" in consistency, as they are meant to be spread over large areas - you can't really "mould" them into shapes; the modelling putties like Milliput and Greenstuff are more like plasticene when mixed, and can be worked with fingers, pushed into gaps, formed into shapes and smoothed out with a moistened tool (oo-er...).
Both types have their particular uses, which you go for really depends on exactly what you want to do with it. You could fill a large gap in a figure's repositioned arm with car filler, but with the putty you could mould the figure a new hand....
Jon.