I found myself writing a giant wall of text on how to get modeling supplies for cheaper than the GW equivalents, admittedly not very hard since GW is, as we all know, WTFexpensive most of the time. I figured I'd repost and expand it here, get some input from the forum and maybe have a nice guide for those on a tight budget.
1) Supplier
Direct from GW or a GW store is often the most expensive way to get *anything* hobby related, and should be considered a last resort for must have items. Try craft stores, independent hobby stores (particuarly those that carry model railroading supplies), wal-mart, warstore.com first before you plunk down cash on an item. Specific places to try will be listed with each specific item.
2) Models
Warstore.com is 20% off GW list, with $6 shipping for any size order. The Warseer trading board can get you stuff for cheap, or free if you have a decent item to trade. Ebay can also provide decent deals, and extra bodies/heads etc. to attach those billion extra arms you have lying around to.
Ask around- people are often selling or just trying to get rid of warhammer armies they no longer play or didn't want to finish. Let it be widely known and you may find free stuff coming your way
Convert! Everyone likes seeing decently converted models, and it can be a lot cheaper than the model you're going to count them as. I recently converted a bunch of orc arrer boyz (the old plastic ones) i didn't have a place for in my army into sword and shield guys for about $5 in bits.
In addition to bits of other models and greenstuff, remember you can use styrene sheets, bits of metal or plastic junk, sprue... absolutely anything that will look right when painted. Be creative!
Scratchbuild! In my o&g list I run two homemade bolt throwers and one snotling pump wagon, and working on a rock lobber and another pump wagon. Warmachines are particularly good because you can tend to make them out of sprue, styrene sheets and strips of styrene. Rivets can be done easily with thin round styrene glued onto the surface, then clipped off close to the base with nail clippers. I would imagine 40k vehicles can be done out of similar materials but I only collect fantasy.
Try non-GW model ranges. Admittedly they rarely blend in well with GW style models but a whole unit of another manufacturer can often look good.
If you had some god-awful minis you need to get the paint off of, this thread can help.
Use starter boxes- O&G in particular, but also dwarves, LM, and empire. An O&G army made from a 6th and 7th edition starter box is around 930 points with no magic, fanatics, banners etc. and should cost around $60 to get both sets, if not less. For the most part inferior quality miniatures but with some love and conversions they can be the equal of their 4x as expensive brethren. Easy conversions include Arrer boyz to regular boyz, NG spearmen to hand weapon and shield and Miners to great weapon warriors, if you have extra models of that type.
Ireland: Try Models Inc. (Thanks DartzIRL)
3) Brushes
Hobby stores really kick you around on brushes. I personally swear by a couple big 1" or so dollar store things for terrain projects, and my local craft store (Micheal's in the mid-atlantic US, at least) carries $2 three packs of brushes from 6/0 to as big as you need for everything else.
4) Basing materials
If you are buddies with a model railroad guy, you are in absolute luck. You can bum a tiny amount of static grass/sand/gravel/lichen/ground foam/model water etc. from him, and it will be enough to base an entire army easily.
Sand: Raid someones sandbox, rinse out the dirt, done.
Gravel: Find a spot on the side of the road where rain has naturally made a small bank of gravel. Scoop up some, rinse it, sort it with a pasta strainer if you need a specific size.
Static grass: Model train supply places sell a container of static grass that is 6 times bigger than the GW tub for about the same price. Buy one, split it with your fellow hobbyists. Ditto for foam, lichen, etc.
Snow: Don't use flour, it will yellow and attract bugs.
Sticks, Cork, little bits of junk, bark all are free and make good looking bases. 40k people might have luck breaking up small mechanical things (watches, typewriters, Disk drives etc.) to get bits to put on bases.
5) Paints
Try Vallejo, Reaper, Privateer (there are others, but I can't recall) instead of GW. They tend to be a little bigger, near the same colors, and Vallejos come in dropper bottles that i swear by. And order them online.
If you know you'll be using a lot of one color, try to find a big pot of it at an art supply store.
Mix colors- I personally only own only the brightest and darkest shade of each color, with a couple exceptions. It takes longer, but it's cheaper and lets you get the exact middle tones you want. You can also make different shades by mixing in especially white, brown or yellow, but any other color really.
6) Primer
Most spray primers will work as well as the GW ~$11 stuff. Krylon spray primer works for me. Just make sure to avoid anything textured, metallic or otherwise weird. Some people even use the 99 cent bottom shelf cans, though personally I've had bad luck with those.
7) Glue & Tools
Superglue- I have terrible luck with the tip being gunked up so I use lots of those tiny little tubes that I can just chuck after an assembling session. Dollar stores and Wal-mart tend to have 4 or 6 packs for a buck. Buy a couple and you're set.
PVA is british english for white glue. I think GW PVA dries matte and clear compared to the glossy and slightly opaque finish of something like elmer's but under most circumstances the glue shouldn't be visible anyways.
For metal models I use a tiny bit of JB weld epoxy. It's like $4, and never, ever, EVER will break. If you get a good bond it's stronger than the pewter.
I use a jeweler's saw with 2/0 or 6/0 blades for cutting metal and plastic- ordered it a long time ago from a chainmail supply site (theringlord.com) but even now you should be able to order one for less than $10, and blades should be less than 20 cents each.
If convert a lot of metal miniatures, a pin vise is essential- shop around online and you should be able to find a decent one for less than $10.
An exacto knife is indispensable- get one that's comfortable for you, then buy a big pack of blades for it and be set forever. There's really no cheaping out on this one as far as I know- box openers and the like are just too clunky.
try http://www.micromark.com
Ireland: Try Easons (Thanks DartzIRL)
8) Movement Trays
I scrounged a sheet of 1/8" particleboard (or hardboard, i think it's called sometimes) and me and everyone i game with has been cutting trays out of it since, and just gluing some balsa strips to the edge. Costs next to nothing and almost as fast as the GW modular ones.
I've also heard of using cardboard and sheet styrene to fairly good effect- basically anything that comes in a sheet and cuts easily can be pressed into service.
9) Terrain
A 3/4" or 1" sheet of pink insulation board, the above mentioned particle board, and a cheap variety pack of balsa wood from wal-mart are enough to make projects from hills, to walls, to buildings, to rock piles. Keep an eye out for interesting bits of junk to incorporate into your terrain.
Trees are tougher- you can get cheapish plastic ones from craft stores, try to find sticks that look treeish and then add ground foam, or use wire armatures and cover with either greenstuff or sculpy then flock and paint.
Sculpy is a clay that bakes at oven temperatures (450 F iirc) and comes in fairly cheap bricks at most craft stores. It also makes pretty good rocks and other stuff that doesn't need to be thin or sharp-edged (though you can file it after you bake it for sharp edges).
If you need a (whole hell of a) lot of sheet styrene, US Plastic Corp. has good prices on bulk sheets.
10) Green stuff
I personally have no experience with it so far, but i've been recommended "magicsculp", and GW's green stuff is just rebranded from Polymeric Systems. Heresy Minatures (UK) also has decent prices.
Tissue/toliet paper/paper towel can work as a poor man's greenstuff in certain applications- clothy stuff mostly. Soak it in glue and drape as desired. Just make sure to do a few test runs first to get the texture and consistency right- it can be fiddly.
That's all my wisdom on scrimping on hobby supplies for the last 6 years- anyone else have any good ways to save some hard earned money?