Well formaldehyde is a gas. Formalin is the liquid derivative used for preservation. Most science folks use a 3% mix for pickling, which is nasty enough. The fumes at 10% are near-unbearable. A lot of people improperly dilute to 10%.
Due to wussy complaints, formalin is mostly phased out of educational use. Most of the truly effective preservative agents (i.e. xylene) are politically incorrect nowadays. I think even glutareldehyde is frowned upon.
There's this stuff called carosafe that's the rage now. It sucks.
75% or 95% ethanol still works just fine. It dries your hands out, of course. Ethanol is the preferred method for long term storage of most animals, and has been since the 19th century. Formalin's a LOT cheaper, however. Formalin also has the advantage of retaining colour in animals longer than if they were in ethanol.
Hardcore zoologists narcotize or "fix" animals first in 3% formalin, and then replace with ethanol. Formalin is much less traumatic at killing, and gives you a better quality specimen. Long term formalin-preserved specimens should be buffered, as straight-up formalin is slightly acidic. This is particularly bad for critters like shells, clams, and echinoderms. Formalin's also A-1 at destroying DNA, whereas ethanol is much nicer.