The pipe used should always be rated for pressure. PVC is one of the lightest, cheapest, and most common pressure rated pipes available in the US, so it is used most frequently. Pressure rated metal or other plastic can also be used if available. I will just be addressing PVC on this page since it is the most common. Be sure to do research about the material you choose so you know its dangers and limitations as well as how to properly use it.
Here's how the sizing of PVC works. There are different Schedules that indicate thickness, the higher the Schedule, the thicker the pipe wall. The most common pipe you will find is Schedule 40, but 80 and 120 are also available, although they are much more rare. With the various schedules the inner diameter of the pipe changes and the outside remains constant. Which means you can use Schedule 80 pipe with Schedule 40 fittings and visa versa. There is also an SDR series of pipe available. Those have a constant pressure rating regardless of size, and can be used in normal fittings. For more information on pipe dimensions and pressure ratings visit Harvel Plastics.
However, just because something is labeled as Schedule 40 (SCH 40), doesn't mean it is pressure rated. All it means is that the dimensions are that of the SCH 40 standard. PVC pipe that is pressure rated will always have the pressure rating printed on the side.
Fittings that are pressure rated will always have NSF-pw printed on them. Usually it is very small along the edge of the fitting. Others have NSF-dwv, which stands for "drain, waste, vent"; these are not pressure rated. Pressure rated fittings will also have deeper sockets than fittings that are not pressure rated.
That being said, you should also know about the failure characteristics of PVC. If a PVC pressure vessel ruptures while holding a compressed gas, it will break into a bunch of sharp pieces flying outward at high velocity. These tend to be hazardous to a person's health, that is why it is very important to properly construct and handle spudguns. What causes a spudgun to fail? Most often it is improper construction materials. Clean-out plugs, which are dwv, are the most frequent places of failure that I have seen. Other times it can come from improper handling of a spudgun. PVC is quite brittle when compared to some other materials and the colder it is, the more brittle. So dropping a spudgun could cause cracks that lead to a major failure, especially in cold weather.
Even if you do everything right there is still a chance that the PVC could fail, so you are taking a risk by using PVC with a compressed gas. You can help minimize that risk by not pushing your luck too much. I try avoid using anything over half of the rated pressure. If you plan on making something like a T-shirt launcher that will be used with a number people around then it would be a good idea to avoid PVC completely.
related linksSpudwiki "Identifying Pressure Rated PVC" article
Spudwiki safety article
Burnt Latke safety page
advancedspuds.com safety page