Guts, actually. Like a natural casing sausage.

In college, my roommate got a three pack of them and gave one to me. I didn't use it for its intended purpose, but I did pull it out of its plastic case and examine it. It wasn't elastic much at all. Felt smooth and natural. I bet it would have a much better "feel" than a latex condom in use, but since it didn't appear to stretch, I imagine sizing would be an issue for most. Either too loose or too tight. I was amazed that there was no knot in it, that I could see. I have no idea how they are manufactured. How do you turn a tube material into a closed tube without a knot?

Edit: Oh, and it wasn't rolled up like a latex rubber. It was just mashed loose in saline solution or something into a little plastic container. Probably tricky to put on.