I started building ships in bottles with a wonderful chunk of black walnut. I started with that because it was what I had at the time. It's a very hard wood, dark in color, and hard on the tools, but the piece I had was extremely dense, tight grained, and of excellent quality. The quality of that piece is hard to come by unless recuperated from old furniture, or you have the luck to stumble across a good stock. I also carved teak for a while, but it was a bit to fibery and brittle, not to mention extremely irritating to my eyes and nose. Now I use basswood, but really want to try something else, since it does have the tendency to get fuzzy on the edges when sanded. As David mentioned, I too am interested in fruits woods, boxwood, and would really like to try holly.
For the masts, I originally used long leaf yellow pine and still have some strips lying around that where recuperated from the porch floor boards of an abandoned house. It worked really well for the masts since it was extremely strong with long fibers, while at the same time, flexible but not brittle. The color also worked well for the masts. I now use bamboo skewers, turned down. In my opinion it is the best wood for masts, since it is extremely flexible, strong, has a nice color, and easily drilled. I can turn the masts down to a mm or less in thickness as well.
I often lay planking down on the decks and have used everything from fur, pine, basswood, mahogany, jatoba, and even teak, which unfortunately does not slice well and is extremely brittle and hard to work with.
And finally, I use HDU board (high density urethane) for carving modern, fiberglass hulls, which often have more rounded/odd shapes. I ordered a box of scraps (of high density grade) from a sign company and it works great for powerboats. Since its not wood, it carves in all directions and keeps its edge really well. The only drawback is that it has a tendency to break or chip when carving to a point or sharp angle, but sands like a dream.
I hope to experiment in the future with some other woods!!