There are several dozen of different plastics available for 3D printers at the moment, including water soluble, translucent, rubber like materials, and other exotics. ABS is quite mainstream already, but it requires a printer with the heated bed upgrade, as ABS and other high temperature plastics are not sticking to cold surfaces as required to maintain the printed object position (I have that upgrade already).

Strongest parts are usually printed from nylon filament (the grass trimmer line works quite well on a cheap), there are several grades of it though. I have one tested for 4,800 pounds tensile strength. And yes, there are carbon fiber based filaments as well, however they are not that strong, as you cannot use too long fibers to reinforce the plastic mass (like typical 5-10 mm fibers in the CF sewing thread).

The strongest filament I know is Stratasys' ULTEM 1010 FDM thermoplastic (http://www.stratasys.com/materials/fdm/ultem-1010). Used even for external aerospace applications. Expensive. But it will require an all metal filament extruder due to the high melting temperature of it. Most of the consumer grade inexpensive printers are using a PTFE tube for smooth feeding of the filament into the melting zone, so they cannot withstand more than 250C temps. I have ordered such an extruder a while ago, just need to mount it properly on my printer. However, even simple PLA is quite strong for many applications if you take the time and invest it into slow printing speeds and 0.1mm high layers. Surely the geometry of your parts must be well thought out in the first place to properly address mechanical forces applied to them.

For very smooth surfaces you may also opt for a specialized filament. Another obvious option would be to simply sand it and coat with some gloss paint (i.e. epoxy spray). With PLA you may opt for an acetone vapor bath if you are about the smooth look only (like making a mask or dinosaur's skull). Otherwise it might eat about 0.5 mm of the piece thickness unevenly. In fact, when I'm making my layers just 0.1mm high, the 0.4mm diameter printing nozzle produces quite smooth surfaces to my liking. They are suitable for a simple mechanics (I've made a perfectly smooth ball bearing using airsoft pellets). The secret for proper printing is that one should always keep in mind that designing parts and devices for printing is quite different from a typical designing for the metalworking (like milling). It's closer to woodcraft, as your parts have layers similar to wood rings. Quite often some sharp knife work will be required if your part was not designed specifically for 3D printing (e.g. you cannot print overhang slopes at less than 45 degree angle without printing lightweight support pillars). Thankfully, the 3D printer modelling community is enormous already: http://www.thingiverse.com/ Most of the objects there could be re-imported for studying, parametric tailoring, or manual modification using free 3D modelling software.

All 4 anchors above were printed together on the bed, using a high temp.PLA, in about 5 hours. They are only 25% filled inside, so they are lighter than they look, but every surface, including cord holes, is reinforced with 8 layers (about 2.5mm of solid plastic). All of that is controllable from the printing software, so you can experiment with different settings on the fly. My printer is hidden in the wall cabinet with a power exhaust system and connected to the internet, using Raspberry Pi, so I can monitor (printing temperatures, parameters, and visually on the camera) and control my long prints remotely from my smartphone, tablet, or any PC (my family is instructed how to use a special spatula to remove parts from the bed when they are done baking, and that's the only not automated operation left ). The longest print I did so far took more than 14 hours. Those are usually overnight jobs.

The cost of 3D printing is moderate. If I can buy it off eBay - I don't bother printing it. You can have a good quality 1 kg (35oz) ABS spool for about $25 shipped. That's roughly a 6 month supply at my current pace. Even though ~25% of it goes to the trash bin, as I'm still experimenting a lot (actually, I'm keeping failed test prints, as I plan to build a filament maker some day, which will allow to recycle even PET bottles for printing). The electric power consumption of my average sized printer (RigidBot, 10x10x10" printing space) with ABS temperatures is around 250 watt, with PLA - about 150W on average. At the peak it might be up to 400W. I'm yet to measure the typical print's power cost though (misplaced my KillAWatt device).