From drywall compound (sheetrock mud) to caulking and wood fillers, the painting, woodworking and drywalling industry etc., manufactures a number of different types of crack or hole fillers.
Each product has it's own intended purpose and below you will find a list of fillers and their recommended interior or exterior usage.
Drywall mud comes in different formulations. Some muds referred to as 45 for example can dry slower but is easier to sand while a compound called 90 on the other hand sets up very quickly requiring more elbow grease (sanding).
Drywallers prefer compounds that need very little sanding, dry fast and yet at the same time won't crack once dried. Due to these said issues, some drywallers will apply faster drying muds as a base coat (especially when dealing with deeper holes, cracks and joints) then they will follow up using a final coating of slower drying (easy sanding) drywall compound.
Most people apply all purpose muds when repairing holes or cracks in their walls. Such compounds can also be used as drywall (or sheetrock) joint fillers but do take longer to dry.
With that said, certain all purpose muds (when applied as a joint filler) can crack after drying, depending, of course, on the situation that they are being used in (environmental conditions etc).
All purpose compounds vary from store to store so find a product that's easy to sand yet dries reasonably fast without cracking (don't forget to apply drywall tape to the joint first though).
Light weight spackle looks very much like wedding cake icing and it's biggest advantage is in having a very fast drying time. Even so, light weight spackle is best utilized for smaller type hole repairs. Reason being is that such fillers tend to leave an extremely smooth surface (once dried) while absorbing paint less readily than other similar products. What I mean is, a slightly rougher surface can sometimes result in highlighted repairs when applying this type of spackling compound.
In most cases all purpose drywall muds work best when fixing tiny surface imperfections.
Regular spackling products tend to be heavier in weight and are usually applied to exterior repairs.
When working with exterior spackle's remember to use them sparingly, as they can (at times) be very difficult to smooth or sand flat.
Plaster is a cement type mortar that's troweled onto an older homes lath (wood) type backing to create the interior walls.
Plaster compounds adhere better to plastered walls so it's not recommended to use a drywall compound on a plastered surface.
Also, as a caution, some older plasters were created using asbestos so you should test the area prior to disturbing your walls (testers can be purchased from most local home improvement centers).
Interior/exterior paint-able caulking is one of the best things invented. I use it on a great many things including windows, doors, baseboards, jambs, casing, pin holes, dents, divots, scratches and cracks.
Caulking dries fast, it's flexible and in most cases can easily be covered with one coat of paint.
Prior to squeezing on your caulking be sure to cut the end of your tube with as small a hole as possible while still being able to squeeze the product out. Smooth the product with your finger (or a damp cloth if needed).
Also, less is best as it's easier to work smaller amounts of caulking when your leveling it out. Just remember to add more caulk after the first bead (coat) dries (depending on the crack of course). Follow up by wiping with a damp cloth to remove excess caulk from both the working area and your fingers (if need be).
Silicone repels water and has excellent endurance when dealing with high traffic situations. Keep in mind though that silicone can be very difficult to work with. To help manage the silicones output (from the tube) cut as small of a hole in the tube as you can while at the same time remembering that less is best. Once your handy work is dry squeeze on more silicone (if you feel it's necessary).
Older sash style windows are puttied to keep wind from blowing around the glass. Colored putties will also fill holes (caused from a nail or otherwise) in woodwork including mdf, oak and maple etc.
Wood fillers, like putty, come in a number of colors and product types. Be sure to test a few wood fillers and find one that you like as each formulation can react differently depending on the project being done.
Tile grout is a cement (mortar) mixture combined with fine sand and water (or a latex paint like liquid). Some grouts, though, do not use sand especially when grouting glass tile. With that said, be sure to trowel on the recommended grout mixture for your specific style of tile and or project.
Mortar (like grout) is a cement mixture and has a number of different uses including masonry, concrete and brick work.
If you have large cracks or holes that need filling, spray foam works best (and or backer rod).
Use a utility knife (or a small saw) to cut the dried foam just below the surface. Once the foam is cut and reasonably level apply a filler over top of the foam, (drywall compound or exterior spackling for example).
Another alternative when foaming around doors and windows is to cover the dried (and leveled) foam with wood or vinyl trim/molding rather than drywall mud.
Even though there are a number of fillers etc, to chose from I would recommend giving consideration to the two that I use regularly. DryDex and Alex caulking both are recommended for interior and exterior jobs. Furthermore, DryDex sands nicely, dries fast and has a dry time indicator while Alex caulking holds up well and the end of the tube can be cut with a very small hole.
When it comes to joint compound (after taping) I mostly apply an all purpose dust control product for the first couple coats then a standard mud as it seems to sand out easily. I also use the same all purpose mud to fill holes and cracks before doing a home re-paint. Your particular project may require a different type of drywall compound though.
This taping and mudding along with the caulking page should help get your projects completed.