John ,
Cnj999 is right, the materials used on the prototype station will influence the selection of the best materials to build the model.
I agree with him that nothing is as good for a wood structure as wood, although I have gotten very good good results using styrene to represent wood, it is just trickier to get the paint right. On my big sawmill I built walls with foam core, and covered them with balsa strips
when representing metal, I like metal, usually brass, or styrene, again proper use of paint is needed to sell the illusion.
For stone, I used to think that carved hydrocal (a very hard plaster) was the only good way. recently I have had some great success with carved foam glued onto foam core. ( see my Union Station build in the scratching and bashing section.)
for stucko, it would be possible to build up walls from foam, foam core , or even wood, and then paint it to get the color right. thick paint or acrylic modeling compound could be used to put some texture into the wall.
I find foam core to be very helpful, since it is cheap, and easy to work with. I will often cut out the shape of the walls in foam core to get an idea of what the building will look like, as if alterations are needed it is fast easy and cheap to make those alterations to a foam core model. once I'm satisfied with the shape of a structure, sometimes I will copy that shape with other materials, and sometime I will layer other materials on top, so of the foam core structure, so the mock up becomes the supporting frame of the finished building.
If you are just starting, don't be afraid to jump in, and don;t be afraid to start over, if at any step of the process you are not satisfied with the result. a station will be a natural focal point , so the whole layout will look better if the station looks better. If you have to start over a couple times, that isn't wasted effort, as you will be learning stuff with each effort; none of us were born knowing this stufff