I couldn't print whpthomas' hexaflexagon model, so I decided to just make one of my own. This one is quite a bit easier to print, although it does require a little assembly.
First, print three of these. Then, arrange them in a straight line:
female end, 2, 1, 1, 3, 3, 2, 2, 1, 1, male end
Use paper clips (or wire) to join together the two seams. Then start folding. You want a hexagon where all the faces showing are the same number (it'll make sense when you see it). There will be one last seam, put another piece of wire in that. Use pliers to bend over the ends of the wire so it stays, and you have a hexaflexagon!