To be laser engraved or cut, materials need to absorb the light emitted from the laser. Depending on the materials, the absorption of laser power differs. The reason behind this is the wavelength of the laser machine. Different types of materials absorb the same wavelength differently, causing varied engraving/cutting performance.Check here for a complete list of materials for laser cutting/engraving.
Some materials shouldn't be engraved/cut as they will become very dangerous when engraving/cutting. Check here for a safety guide of materials for laser cutting/engraving.