A while back, our IT (computer) department bought a bunch of new PCs at work. I got all of the ethafoam that came with them. The individual pieces in each box all fit together like a puzzle, and I put them all together in layers. Then I wrapped them with pallet wrap -- like Saran Wrap for the kitchen -- and I've got two great, lightweight targets that weigh just a couple of pounds each. They are both the size of a hay bale.
Everyone thought I was nuts carrying out all that foam from work, but I saved a couple hundred bucks, probably. The foam is great for field points, broadheads cut it up pretty good, though. I can always wrap it with more plastic wrap when it gets lots of holes in it, but eventually it will wear out.