Lengthy articles have been written about this, but I'll see if I can offer some simple suggestions. The "right" answer really depends on the specific situation you're in.
For wood-to-wood joints that don't need to dry really fast it's hard to beat the bottled "yellow" or "cream" glues, such as Franklin Titebond or Elmer's Carpenter's Glue. Regular, white Elmer's is good stuff - but not as strong. It also dries slower, remains water-soluble when dry, and gums up when sanding. The yellow glues dry faster and don't gum up. Titebond comes in several variations - Titebond, Titebond 2, Titebond 3, etc. - which vary in their degree of water resistance. Unless you're going to leave the model out in the rain or submerge it in water, regular Titebond will do just fine.
If a small, precise joint needs to dry in a big hurry, the thicker varieties of cyano adhesive (superglue) work well. Each manufacturer makes several grades of CA, some thicker than others. The label will indicate whether it works on wood. I find that a "superglue accelerator" in a spray bottle comes in handy.
For larger joints that are under a lot of stress, epoxy is always an option. I have to say, though, that I've rarely found an occasion where epoxy would be preferable to Titebond on a wood-to-wood joint. (As I understand it the folks who build operating models use epoxy all the time for underwater joints. I've never gotten into that type of modeling; others are far more qualified to comment on it than I am.)
For gluing wood to other materials, such as metal or plastic, CA or epoxy will usually work. The "gel" forms of CA are worth trying; they give lots of time for maneuvering parts into place. Again, CA accelerator comes in handy.
About twenty years ago I scratchbuilt a model of an eighteenth-century frigate, using the "plank-on-solid" method. I carved the basic hull from basswood and planked the exterior with Evergreen styrene strips. To hold the styrene to the wood I used old-fashioned Revell tube cement for plastics. It worked fine. The cement softened the inner surface of the styrene and soaked into the wood. None of those joints, which are now more than two decades old, has ever shown the slightest tendency to come loose. Unfortunately Revell tube cement isn't around any more. I don't know whether the gooey, stringy Testor's stuff now sold in most hobby shops (complete with oil of mustard, to discourage sniffing) would work as well or not.
Titebond and most of the others I've mentioned are widely available at hardware stores, "homeowner stores" (e.g., Lowe's and Home Depot), and even drug stores and groceries. I suspect you can get any of them locally. If you do have problems finding them, though, a good web source for anything involved with woodworking is Woodcraft: www.woodcraft.com . If you go to that site, stay a while. Woodcraft sells lots of stuff that's useful for model building.
Hope this helps a little.