Closed sets of correlations: answers from the zoo

We investigate the conditions under which a set of multipartite nonlocal correlations can describe the distributions achievable by distant parties conducting experiments in a consistent universe. Several questions are posed, such as: are all such sets "nested", i.e., contained into one another? Are they discrete or do they form a continuum? How many of them are supraquantum? Are there non-trivial polytopes among them? We answer some of these questions or relate them with established conjectures in complexity theory by introducing a "zoo" of physically consistent sets which can be characterized efficiently via either linear or semidefinite programming. As a bonus, we use the zoo to derive, for the first time, concrete impossibility results in nonlocality distillation.