Every year I build a Halloween themed cardboard structure for the kids. It started originally because we had just moved into our previous house and we had cardboard boxes everywhere. I was bored one night so I stayed up way too late and built a "Haunted Mansion". Kids loved it, so I've done it the last 5 years now.

It was a lot easier when the kids were 4 and 2, since the size of the structure could be significantly smaller, and therefore cost a lot less.

Last year I built a "Haunted Volcano" (imagine a large box structure covered in black fabric) complete with "lava" (orange lights flowing down the side), internal lighting, and a second level (used some of those little Ikea tables). It was over 6ft tall and probably something like 50sqft all told. I honestly probably spent close to $200 on it, so it's somewhat of a waste of money, but at least you can reuse some of the materials and recycle most of the rest when you're done.

Home Depot and other similar places sell cardboard boxes that are pretty reasonable and reasonably strong. The "medium" sized boxes are good for small kids. The large and XL boxes are better for big kids and, uhmm, adults who think they're still kids :). You'll quickly figure out good ways to combine and attach boxes to each other.

Grab a bunch of those, a big pack of quality packing tape (3M, not the knock off stuff), a tape gun, and a box cutter or two, and you're all set.