Hey Mark, there are many ways to build a cheap easy set.
Wood- MDF, balsa or other wood care really good for walls, houses,props,fences etc.
Foamcore- brilliant easy set material that is great for the same things as wood except props and fences!
Cardboard- sounds cheap and rubbish, but thick corrugared cardboard can be good for small sets. You can cover it with paper mache or plaster for a really good textured look.
Wire mesh- can be sculpted into various irregular shapes if your film is stylized.
There are many more ways of building a set too.
Print off brick work- you can create brickwork patterns in paint or photoshop to print off for a cheap solutution
plaster- a must have for set building, can add texture, bricks and all sorts.
paper mache-cheap solution for building up areas of your set.
