There are several kinds of pond liners available in pond stores.
The first is EPDM rubber and this is extremely durable, resists punctures and quite flexible. It is normally sold in 40 or 45 mil thickness. If you intend to put a rock bottom on top of your liner, this is the liner for you as it is very flexible and will give and take with freezing. The puncture resistance and flexibility ensure a long life and consistent performance. Usually guaranteed for over 20 years.
Polyethylene is the cheapest liner you can buy. But with this lowered cost comes a lowered lifespan. If exposed to sunlight this material may only last one season. It is not puncture resistant and it is quite stiff. The only serious use of this material is if you have a very large pond with a sandy bottom and can bury the edges so the sunlight cant get to it. But if you think you want to build a backyard pond cheaply, using this is truly false economy.
Polypropylene is another choice and it comes in the same thickness as EPDM and is equally puncture resistant. The problem comes in the flexibility (about the same as polyethylene which is to say terrible) and this makes it...