Made out of steel. The trains all have only one car (except for the Rocket Cars in OpenRCT2, which go up to 3 cars per train), made out of fibreglass and come in all different shapes.
The Rocket Cars were available in RCT1 for the Steel Mini Roller Coaster.
Interestingly, in RCT3, the length of the cars can cause themselves to be stuck at the start of the track. This is because the Mini Coaster launches its cars out of the station with very little speed, and even a small U-shaped curve can prove an obstacle to the Mini Cars. This can be solved for any vehicle by adding a gentle drop to make the car have enough speed to reach chain lift.
The Mini Roller Coaster is similar to a Pinfari Zyklon Z40. Both of these coasters have single-car trains and compact track, although the track style itself looks more like a Mack Rides Family/Junior coaster.