Materialism historically predates what is now known as physicalism, but the two terms are used more or less interchangeably in many areas of discourse these days. Materialism was originally the idea that matter is the only thing there is, and has its origin in the ancient atomists. So construed the notion of materialism seems hopelessly out-dated, and these days physicalism (in a broad sense) is probably way more popular. Physicalism allows for non-material entities such as relativistic gravity, forces, energy and so on. In other words, physicalism is the idea that everything is physical (or supervenes on the physical).
I'd also like to point out that naturalism is very hard to characterize, and that it, depending on the details, can be consistent with non-materialistic and non-physicalistic theories.
All these concepts are tricky, and saying something like "I'm a materialist" isn't very informative at all; it's almost comparable to saying that you're a realist. (Realism, in the philosophical sense, is the idea that something is real. Saying that one is a materialist, realist or X-ist will just make those who have taken a philosophy class ask "about what?". And then there's the problems that subscribing to an ism just gives a pretty ill-defined base to build the rest of the theory upon, so unless you have some details, you might as well settle for saying "I believe that everything is, but I don't know what the domain of discourse is".)