I have tried two ways to make trees. Both had their good and bad points and I'd like find another way that would be just as cheap, but I'm not sure there is one.
I like to put a number of trees on one base to represent a wood or forest, that way I can easily determine where the edge of the woods is and the trees don't fall over. I coat the base with sand or sawdust and paint it brown and green before adding the trees.
The first method I tried used twigs and lichen. This wasn't very satisfactory because I used lichen I found in the ditch and after a while it has gotten very brittle and breaks easily (except for those days when there is a lot of moisture in the air).
To make these trees I picked some twigs about 2 or 3 inches tall with a couple branches and glued pieces of the lichen to the tops. Then I poke holes in the base the size of the twig base and glue them in.
Other than the fact that the lichen is almost white (I never have tried painting them) it gives a decent look as you can see in the two pictures (miniature by Games Workshop).
See also: Preserving Lichen
After Christmas you can find decorations for half off and on a tip from another web site, I picked up a 6 foot long fur Garland decoration for US $3.00. It consisted of a main stem with ten inch strands wrapped into it to make branches. I stretched the branches out on each side and cut them off at the base to make two 5 inch lengths. Then I cut those in half to make 2 inch trees.
When I had a bunch (The strand I bought should make 50 to 100 trees depending on their size), I trimmed the needles at the top down to a point and cut off some needles on the bottom to make a trunk. Then I glued them to holes in the base.
They aren't that realistic looking, mainly because of the size of the plastic needles. But they are cheap and VERY strong (since they're made of wire and plastic).
Also check out my Forest Road project to see more of these trees.