Stacking strips of Styrofoam would be my first choice. If you use the kind that cushions electronics then it is basically free. I have a couple of pieces that came wrapped around a small TV that could easily be cut and reshaped into a tunnel. Add some plaster soaked paper towels and paint and you have a cheap, lightweight tunnel.
Yes the extruded stuff shapes better, but you can get lots of the white pebble stuff for free. I try to only use it where I won't be doing much cutting.
You can use white glue to hold it together. You can also use strips of cloth with diluted white glue to cover it and form the curves. Denim works really good. Wooden toothpicks can help hold things together until the glue dries.
Light colored fake fur (like from discarded clothing) makes a good ground cover. I glue it on and then paint it with cheap green diluted latex house paint. As it dries it will mat and look terrible until I brush it out with a wire brush. Part of the paint comes off but if fluffs up nicely.
I like doing everything I can with water based paint and glue.