Darth Vader's helmet was made with cardboard, various glues, wood filler, and paint.
If you're interested in making one, there is a pattern of the main helmet piece included in the PDF in step 11. This is the piece shown in the second and third photos here (the attached pattern includes some changes that I had to make along the way with mine. That's why it appears slightly different than the piece in my photos).
Once you have this piece glued together, you will need to piece together a dome structure, and then slather it with putty or wood filler.
When it is dry you can sand it down to the shape you want. Mine needed a few filling and sanding sessions to fill in all the cracks and bubbles in order to create a smooth finish.
For the face section, I added little pieces here and there through trial and error until I got the results I wanted.
I gave the helmet a few coats of primer, lightly sanding between coats. The face got a coating of flat black paint, and the helmet got a coat of gloss black. The eyes were touched up with gloss black, and silver details were added.
The last thing I did was glue a piece of fabric around the inside so the jagged cardboard edges wouldn't snag on the figure's fuzzy head when you pull in on and off.