Parchment and papyrus are the obvious choices. Vellum is an expensive subset of parchment, made from a young animal (think of calfskin and leather Bibles; the former is part of the latter group but distinguished as higher quality). It's not clear when the distinction was first made, but probably after biblical times. I suspect that in NT times letters would generally have been written on papyrus (see 2 John 1:12), while religious and other texts that would be consulted regularly would normally have been scrolls of parchment. But in 2 Tim 4:13 it is clear that not all of the scrolls were parchment (just the ones Paul was most interested in).