So I'm trying to get into Warhammer 40k. And it's turning out to be an expensive hobby. Here's how I try to cut my expenses by building as much of the terrain as possible from scrap materials. This list is neither complete or authoritative.
CD coasters – I have tons of these, probably hundreds, comes from my line of work. These can be used as inexpensive bases for various small to medium sized scenery components.
egg cartons – egg cartons are a cheap (you have to pay for the eggs) source of already moulded paper. I've used parts for tank traps but you could also use the components as bunker towers, generators, etc... your imagination is the limit here. Also useful are those coffe trays you can get at most donut shops.
integrated circuit power/data connectors – From an old BetaMax (yes, Beta) player I've stripped out all the electronics, motors and gizmos, these will be useful later on. I've taken the power wires with the connectors attached and used them on scenery as power cables. You could also use old power connectors for your floppy drive (it's the smaller power connector) or your old cd-rom sound connectors.
mosquito mesh – mosquito mesh used on North American doors and windows. If the mesh is cut at a 45 degree angle to the spokes, it could make an effective and convincing fence. It can be also glued to a base and painted to look like a metal grid floor.
plastic poker chips – a dime a dozen, these can be used as manhole covers etc to add detail to scenery.
cardboard rolls – I went to a local fabric shop and asked them if they have any cardboard rolls they could give me, they use these for their bails of fabric. I got a nice roll that's about 2.5 inches in diameter (~5cm) and 6 feet long (~2m). It's like a much bigger and thicker paper towel roll. This material is perfect when cut into one inch lengths as gun placement barricades (I used a circular saw to do this quickly), but more on that later. These rolls could be also used to create pipes running across your scenery etc. And it's free (when you ask with a smile).
foam sheets from computer boxes – I had a couple of these, about 30x40cm sheets of foam (note: not styrofoam, but foam, like a sponge). They were green/gray in colour and about 5cm high, I think they came from a monitor box. Perfect for quickly cutting hills out of. Using a sharp carpenter's knife in 5 minutes I cut out outlines of some hills from the sheet and then added some fake plants to make look like they're trees. In 10 minutes I had inexpensive, lightweight and portable scenery.
Any packaging from electronics – electronics are usually packaged in styrofoam or in moulded paper machee. Styrofoam is very useful in many capacities. I recently picked up from my work a styrofoam ramp that was used to unload a commercial printer from a skid. The ramp is perfect size for the warhammer world, and is about 8 inches high at the highest end and about 3 feet long. I'm only mad I didn't realize what it was earlier on: I could have picked up the other ramp as well for a matching pair.