Varies a bit as not all of the plastics are the same. Some of the more recent kits by Hat use a different plastic and will will stick properly with styrene cement ('airfix glue'), otherwise have to try superglue and hope for luck.
Check out section 5 here re: gluing and converting polyethylene figures
http://www.hat.com/Tips.htmledit: if you mean greasy plastic then probably polyethylene. There is also a softer plastic sometimes used that takes glue better (which Hat have used for some kits), and then very occasionally the hard plastic as used by GW, AFV kits etc.