kami,
ca varies considerably with different woods. as far as other materials go, normally people don't use CA on anything besides wood. not to say that some dont, but usually you don't need ca to protect acrylic or any other types of pen material besides wood.
like gary said, cocobolo is a particularly tricky one and yes, it is due to the natural oil content of the wood. this isn't to say that it can't be done. you just have to use CA accelerator or acetone to clean the wood while sanding, this will dissolve the surface oils and make the CA application easier. most of your native north american woods are relatively easy to use CA with. it's the exotic oily woods that are tricky as well as really porous woods. koa has given me fits before, sometimes it's more absorbent than others and it just sucks up CA until you get it filled and start actually putting an even layer over the outside of it...
hope this answers your question a little.