1. Dilatants - fluids that get more solid when stressed. The classic example is a mixture of cornflour and water - it's runny until you hit it when it becomes solid.
2. Auxetic materials - materials that get thicker when stretched. Pull them in one direction and they expand in another.
This video (.mov format) from Bolton University, UK, shows an auxetic foam in action. I like these because they are totally counter-intuitive - you just expect things to get thinner when stretched. Read more about them in a feature here or on this research page.
3. Superfluids - liquids that flow without friction. They can effortlessly flow through the tiniest of cracks and will even flow up the walls of a beaker and out the top. It's possible because all the atoms in a superfluid are in the same quantum state, so they all have the same momentum and move together. To make a superfluid you must cool helium down to a couple of a degrees below zero - not one to try at home. They can be used to make super-sensitive gyroscopes to test theories about gravity.
4. Ferrofluids - magnetic fluids that can look spectacular. They're made from nanoscale magnetic particles suspended in a liquid. The spectacular sculpture in the video below is made using a ferrofluid and electromagnets.