New functionally structured materials named photonic fractals can strongly localize electromagnetic waves in 3D dielectric or metal fractal cubes called Menger sponge. For the Dielectric Menger sponge structures, the localized frequency can be predicted using a simple equation associated with the fractal geometry and the spatially averaged dielectric constant. While for metal Menger sponges, the localized frequency may be determined mainly by the geometrical factors. Design and fabrication of dielectric and metal Menger sponge fractals by Stereolithography as well as their localization behaviors are reported.