All materials with absorbent or porous surfaces that are also heat-resistant can be glued with a hot glue gun. Typical materials are wood, wooden materials, stone materials and fibre materials such as cloth, leather, cardboard and paper.
Any materials with smooth, non-absorbent surfaces, e.g. glass, metal and smooth or heat-sensitive plastics such as polystyrene foam, cannot be glued. If in doubt, try it out before use.