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Does anyone have any tips, tricks, or ideas on terrain. How to make cheap terrain, where to get it, etc.
Preferably made for Warhammer 40k but anything works.

Pegasus Hobbies makes good, cheap 40k style terrain.

In terrain, I gotta say, foam and plasticard can be your best friends. the options are limitless when it comes to making hills, buildings, bunkers, trenches, you name it.

Also, this idea just came to me recently, but it's possible to maybe use something like a sand castle bucket as a bastion or something, just add some rivets, some plasticard, you name it

Here's an example i was thinking might be perfect

http://www.toydirectory.com/monthly/new_product.asp?id=27161

also keep an eye out at toy stores for sale items, discounts ect. never know what you might find

You can make a load of really nice terrain for cheaper than buying one terrain set from GW>

Buy a 4' x 8' piece of hardboard at somewhere like Lowes hardwear. about 10$

Buy a sheet of insulation foam 3 x 6' x 2" for 20$

At your local store also buy one piece of foam core 3$, a bunch of wooden coffee stirers 3$, and a plastic milk crate 3$.

Its also good to buy a quart of paint at your local hardwear store, find some sand, a knife, hot glue gun and some mixed paints for detail You have everything you need to make craters, hills, walls and ruined buildings.

Balsa wood and foamboard are your friends. Also my first gaming building was built out of concrete...

I'm not associated with them in any way (save for being a recent customer) but:

http://shop.ebay.com/sevenloners/m.html

makes some very reasonably priced terrain. Right now they seem to be on a desert them/kick, but their gallery has other styles.

When I was just a wee lad first starting I played in the sand as you can make hills and valleys in that.

Extruded polystyrene insulation foam is great major terrain features - you can layer it for hills, carve into it for trenches, and cut it up to look like stone. When it comes to buildings and the like, you'll want a few sheets of foamcore/foamboard. It's cheap, it's uniform, it's easy to work with, and it's reasonably strong, so it's well suited to serving as a base for structures. After that, anything from polystyrene sheet to cardboard to wire to popsicle sticks will serve you well in adding detailing. A few sizes of sand and grit, gravel, and some chopped up sprue will cover your base-texturing and rubble.

I'd highly recommend getting yourself a sheet of relatively thin MDF/hardboard to base your terrain features on. Cut to the shape of your foam features, it'll greatly increase their longevity (corners crush and edges chip, even with a bit of care, when using unprotected foam). For buildings, forests, etc. it helps define the edges of area terrain and makes transportation and storage much easier.

Finally, keep your eyes open. I can't count how many terrain pieces have started their lives as bits of broken electronics, food containers, and the like. With the junk I've scrounged in one year (with very little effort, I might add) and $50 in insulation, foamcore, and MDF, I could comfortably cover about 4 full gaming boards, had I the time and energy.