What materials are plane windows made of?
Generally aircraft windows are made of what we colloquially call "plexiglass" of some kind (Lexan polycarbonate is common in light General Aviation aircraft, acrylic plastics are also used).  This material is light, relatively strong (not shatter-proof, but it'll take a moderate beating) and has decent optical properties.
Its major drawback is "crazing" -- hairline cracks on the surface of the material that form over time from dirt, stress, temperature, UV exposure, and the like.



Bonus answer: The little hole serves a couple of purposes, but the biggie is pressure relief/equalization. This gets discussed over on airliners.net a lot and they've covered it pretty thoroughly.

Basically the hole ensures that the cabin pressure is pushing against the outer (primary, usually thicker) sheet of plexiglass, which is plug-wedged into the fuselage structure and can't go anywhere.
Should the outer pane be damaged the hole will also theoretically bleed cabin pressure off at a controlled rate - though how successful that equalization is would depend on your altitude (and thus the pressure differential between the cabin and the outside air) and the degree of damage to the outer pane.