Foam core, or even plain styrofoam's a good one, though not so ecologically friendly. Simple cardboard and tape can work, but it depends on what you're making,

Foam core, or even plain styrofoam's a good one, though not so ecologically friendly. Simple cardboard and tape can work, but it depends on what you're making, so the question to you is what level of mechanical device are you making, and what resources and knowledge do you have? Because 3D printing is popular and welding isn't that hard, but both of those have not-insignificant startup costs. For adapting kids toys to this purpose, there's also K'nex.