For buildings, bridges, fences, etc., you'd also be surprised what you can build with some craft sticks(aka popsicle sticks) and some glue. Walmart and craft stores sell boxes of 1000 for $3-$4. Foam core board can be used also and is pretty cheap as well. When I first got interested in Malifaux, the terrain making bug hit me and I watched a lot of online videos showing how to create all kinds of cool terrain. Here's some of my favorites.
http://www.youtube.com/user/thekamloopian
http://www.youtube.com/user/terrainaholic
http://www.youtube.com/user/Gareson1
http://www.youtube.com/user/RubbishInRubbishOut
http://www.youtube.com/user/TheTerrainGuy