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What they are and what they're used for.

You know of course that a trout fly is nothing more than a hook with some feather parts and fur tied to it in such a manner as to make the whole concoction look suggestive of an insect that a trout will eat.  It really is amazing how realistic some flies can be made to look.  A skillful and talented fly tier can take a few feathers and a little fur and create a fly that looks so realistic that you wouldn't know it wasn't real except for the hook sticking out of it.  How well a fly will float, or how realistic it looks in the water has everything to do with the materials from which it is made.  Fly tying materials have come a long way sense the days before synthetics.

Before running out and buying a bunch of materiel's, I suggest you buy Eric Leiser's excellent book "Fly-Tying Materials Their Procurement, Use, and Protection".

As a beginning fly tier you need to know what a particular material is, what it is called, and the part of the fly it is used for to imitate. See the list below for that information.  Fly tying materials is one of the main commodities of fly shops. You should be able to buy most of the materials listed below (except maybe for the polar bear hair) from your local fly shop. Cabelas  and Orvis also has a great selection of fly tying materials  

Picture of item Name What it is used for.
flyfishingthings.com/Metz neck  Neck hackle The barbules are relatively stiff, and are used to imitate the legs and tails on a dry fly.
flyfishingthings.com/saddle neck  Saddle neck The barbules are softer than neck hackle, and are used to create a collar on a streamer fly , the wing of a streamer fly, and or the "legs" of a "woollybugger", caterpillar, etc. When barbules are bleached off the stem of the feather a quill is produced. The quill is then soaked to soften it (to keep it from breaking) so it can be used to tie quill body dry flys.
flyfishingthings.com/winger  Winger Used primarily to imitate the wings of a dry fly.
flyfishingthings.com/hen back  Hen back Used to imitate the legs on a nymph, or the legs(collar) on a wet fly.
flyfishingthings.com/turkey feather  Turkey feather Turkey feathers are used primarily to imitate the thoracic shell back of a nymph pattern; for example, the shell back of the gold ribbed hare's ear pattern, or the back of a stone fly nymph pattern.
flyfishingthings.com/goose biot  Goose Biot feather Goose biot are used to imitate the segmentation aspects of the body part of an insect. 
flyfishingthings.com/peacock hurl  Peacock hurl Peacock hurl is used to imitate the body part of an insect.  It can be applied in different ways, and has many applications. The iridescence of peacock hurl adds a special  quality to many flies. 
flyfishingthings.com/peacock sword  Peacock sword Used as tail and wing imitation.
flyfishingthings.com/pheasant tail  Pheasant tail Used to imitate tail and legs. Primarily, for the "pheasant tail" nymph.
flyfishingthings.com/pheasant skin  Pheasant skin Used in various and miscellaneous flies.
flyfishingthings.com/golden crest feathers  Golden Pheasant crest feather Pheasant crest feather barbules is used as tailing material. One fly pattern, for example, is the "Rio Grande King Trude" fly; one of the most versatile fly patterns ever created.
flyfishingthings.com/partridge skin  Partridge skin Feathers from a partridge skin are used mostly to imitate legs on wet flies.
flyfishingthings.com/lemon wood duck breast feather  Lemon Wood duck breast feather. Lemon wood duck breast feathers are used to imitate wings on various May fly dry patterns, because of its natural color.  Lemon dyed Mallard breast feather are not as good as natural Lemon wood duck feathers.  Lemon wood duck breast feathers are very expensive.  For this reason (cost), dyed Mallard breast feathers are substituted.
flyfishingthings.com/mallard flank feather  Mallard breast feather See above.  Dyed Mallard breast feather segments are also used as wing imitation on some wet fly patterns like the Light Cahill, for example.
flyfishingthings.com/marabou  Marabou feather A type of feather used primarily as tailing material for "Woollybuggers", and damsel fly nymph patterns. It is very effective because of its motion in water when wet.
flyfishingthings.com/ostrich  Ostrich hurl Ostrich hurl (comes in various colors) is used to imitate the delicate gill filament structure of Chironomidae midge emerger type flies. In addition, it is also used on other fly patterns for the same purpose.
flyfishingthings.com/cdc feather "Cul de Canard" Feathers The description "Cul de Canard" is attributed to 1950's era French tier Henry Bresson. In English Cul de Canard translates to "butt of the duck". However CDC Feathers surround the preen (uropygial) gland of many birds. This gland protrudes like a knob, from the back of the bird, slightly ahead of the tail. Waterfowl preen, recondition, and waterproof their feathers with oil secreted from their preen glands. As the size of the bird increases, so does the size of the feathers. While the natural oils in the feather assist in repelling water, it is the structure of the feather itself which gives it buoyancy. The fibers on the feathers trap air bubbles. Therefore CDC feathers loose their floatation when they become matted or soiled. The bubbles remain trapped within the fibers, even after they are submerged.  CDC feathers are used extensively as bundles for wing posts for parachute style flies, or tied horizontal for caddis wings, or looped for emerger wings. CDC is also great when wound as hackle for both dry and wet flies. For more information on tying with CDC, check out this article in Fly Fisherman by Hans Weilenmann. Note: The above information here was lifted from http://www.flyfishusa.com/fly-tying/cdc.htm website because of the  excellent explanation about what are cdc feathers.
flyfishingthings.com/dear hair  Deer Hair Deer hair is used to make bodies and wings of dry flies, for example, the "Irresistible" and "Humpy" style of dry fly. Because deer hair is hollow, it floats. The hair is spun and trimmed to create the body. Furthermore, it is also used in the creation of bass flies like frog imitations, and the "Dahlberg Diver" series.
flyfishingthings.com/elk hair  Elk hair Used like deer hair. However, because of it's unique color it's an excellent imitation of an adult caddis fly, thus the "Elk hair caddis" dry fly.
flyfishingthings.com/calf tail  Calf tail Calf tail is used to imitate small minnows, and as wing material for dry flies. The "Rio Grande King Trude" fly, for example.
flyfishingthings.com/buck tail  Buck tail Buck tail (tail of a deer) is used primarily as "wing" material to imitated minnow body patterns. The "Clouser" minnow style is a good example.
flyfishingthings.com/polar bear fur  Polar bear fur Polar bear fur is used in the same way as buck tail to tie streamer patterns, except polar bear hair is translucent and gives the pattern special qualities only found in polar bear fur. Note:  Polar bear fur is very expensive.  A small patch (1 by 3 inch) can cost as much or more than $30.00 dollars.
flyfishingthings.com/muskrat  Muskrat fur Muskrat body fur is primarily used as dubbing material, and is applied to imitate the body part of both wet and dry flies. Many fly patterns are tied with muskrat body fur.
flyfishingthings.com/zonker strips  Rabbit fur. Rabbit fur,  when cut into strips is used to make the "Zonker" style fly.  Rabbit fur is also easily blended with other furs to create special dubbing.
flyfishingthings.com/hares mask  Hare's Mask Hare's mask is the fur from the face of a hare(rabbit), and because of the special hairs embedded in the facial fur, it gives a fuzzy quality to the dubbing from which it is made. Hare's mask is the primary ingredient used to tie the "Gold Ribbed Hare's Ear" fly.
flyfishingthings.com/squirrel tail  Squirrel Tail Squirrel tail is used to imitate minnow streamer fly patterns.
flyfishingthings.com/red squirrel skin  Red Fox Squirrel belly fur. Red Fox Squirrel belly fur is used as dubbing to imitate the body part of a nymph; specifically, Dave Whitlock's "Red Fox Squirrel Nymph". The "RFSN", in my opinion, is one of the all time great nymph patterns. When red fox squirrel belly fur is blended with a sparkle material such as Antron (a type of nylon), it gives the resulting dubbing a sparkling quality in addition to translucency; this makes the dubbing a perfect body material for emerging caddis pupa patterns.
flyfishingthings.com/fox fur  Fox body fur Fox body fur is used as dubbing for the body part of a fly.
flyfishingthings.com/otter  Otter fur Otter body fur is used as dubbing for the body part of a fly.
flyfishingthings.com/beaver  Beaver fur Beaver body fur is used as dubbing for the body part of a fly. Beaver body fur is also bleached for some dubbing applications.
flyfishingthings.com/chenille  Chenille Chenille is used to create the body part of a fly; "Woollybugger", and caterpillar patterns, for example.
flyfishingthings.com/dubbing Dubbing To dub, is a term meaning "to add to". Dubbing are created from natural furs and synthetics like nylon and rayon yarns. Dubbing when spun with thread, and then tied to the fly, can imitate various body parts of a fly. Dubbing can be applied in many different ways to create many different effects. Becoming familiar with the differing dubbing techniques will greatly enhance the fly tier's ability to create an effective repertoire of flies.
flyfishingthings.com/wire  Wire (copper, brass, and lead) Wire is used to add weight, sparkle, and reinforcement to a fly by ribbing (palmer wrap) the fly. The abdomen section of the "brassy" nymph, for example, is wound with brass wire. Lead wire is used to add weight to a nymph.
flyfishingthings.com/tinsel spool  Straight Tinsel (spooled) Tinsel that comes on a spool is referred to as: "straight tinsel",  and is used to add sparkle or flash to a fly when "ribbed" on.
flyfishingthings.com/tinsel chinelle  Tinsel yarns Tinsel yarn (comes on a card) is used to add sparkle and flash to a fly.
flyfishingthings.com/flashabou  Flashabou Flashabou is used to add sparkle and flash to a fly pattern.
flyfishingthings.com/thread  Threads & Floss Thread is used to tie materials to a hook in the construction of a fly. Floss is used to form a body to the fly.
flyfishingthings.com/foam  Foam A relatively new material used to create a whole new generation of fly patterns.  Because of it's buoyancy properties, foam is used to create the body section of many new patterns.  Joe's hopper, for example, is a fly pattern where foam is now used in place of bundled deer hair. Sponge spider patterns, used for blue gill (bream) fishing,  is another example where foam is used.
flyfishingthings.com/silli legs  Rubber(latex) and silicone material. The new silicone and latex rubber leg material is used mostly to imitate legs.   Leg parts, especially on larger patterns, can be better imitated with the new "silli" (silicone ) leg material than natural materials. A good example of "rubber" leg use is the sponge spider patterns.
flyfishingthings.com/beads and eyes  Metal beads and eye materials Metal beads are used to add weight and sparkle to nymph patterns such as bead head style flies.  Eye imitation materials are for imitating; well, eyes. Eye imitations are used to imitate fish eyes on streamer style patterns. Note: Adding "eyes" to a streamer style pattern greatly increases its effectiveness about 75%; if not more.
flyfishingthings.com/synthectic hair Synthetics Synthetics, is a term used to describe a whole group of materials (all of which are not natural), that serve to replace natural materials used in fly tying. In many cases, a fly pattern can be made more effective by tying in synthetic materials than by tying in natural materials.