I have used reef epoxy, cyanoacrylate gel (super glue gel), zip ties, and fiberglass rods that are supposed to be arrow blanks because you can find them for cheap.
The epoxies and glues do not seem to work well on their own. I recommend using a glob of superglue on each rock to be joined with a glob of epoxy in the middle. That gives me the best results.
You can make large tower type structures by drilling a hole in a large heavy rock and inserting a rod into it and then using that rod to form a structure by drilling through other rocks and stacking or by zip-tying rocks to it.