The most commonly used construction materials for my figures are paper (white or newsprint), thin & currogated cardboard, paper towling, and white & hot glue. I seldom use styrofoam.
As far as trying to do some yourself, go for it. It's really not that hard. Someone on this board asked me to do a tutorial for my type of sculpting awhile back, but I never got around to doing it - mainly because I wasn't exactly sure how to structure such a tutorial. I showed one of my friends how to do it once, but that was in person. The closest thing I have to a tutorial is my "work in progress" page for the Jade Pinnipedia figure I did awhile ago:
http://www.angelfire.com/ult/ace/work_in_progress.html