At Gonzoangel's suggestion I thought I'd start this topic.
I'll go through - as best I can the construction of the small table we made for Cancon 2015 (I think).
It was only ever designed as a stop gap one for the first convention until the awesome stuff from Miniature Scenery became available. Bits of it still get used from time to time but the whole table is rarely used any more.
Step 1: Design
The first step when building a table is to decide what you want. I was wanting to try and get the enclosed feeling of the back streets of London but allow a large open area so players could get to grips with the game and minis easily.
After a few rough sketches this is where I ended up:

Step 2: Layout
Having decided on the rough position of the buildings I needed to get to grips with making the spacing work. I visited a local discount store and picked up a large, cheap picture frame to be the edges of my table. I wanted it to be enclosed and easily transportable and also able to withstand the rigours of a convention so the buildings needed to fit snugly and be help in place somewhat.
Here is the sketchdown on the frame I did with a mini placed on it to help get the scales right:

You'll notice that it's been designed to be a little off square to the board. This helps it look more natural as Seb suggested in the post about basing minis:
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Step 3: Construction
Having planned the table I now begin building it. I started with the large raised walkway at the rear as this will define much of the structure of the table.
I got some 3mm Foam Core Board - this is expanded foam sandwiched between two layers of card. I makes it fairly strong and it can be glued using wood glue (the while smelly stuff we call PVA here in Aus). The structure is supported by small triangular corner bits on the inside which help hold it together and make it stronger. These I generally just chopped out of any offcuts.

You can see the plan has already drifted a bit when I realised that the thin layer of buildings at the back of the original plan would be very tricky to make work and I wanted to make more of a feature of the Inn that would be up there.
The steps also needed to be made a bit longer to accomodate the height of the walkway and the size of a miniature's base.

The blue tape you can see is a product made for painting walls and windows. It's sticky but not so sticky you can't peel it off without damaging the structure beneath.
If you find the tape you have is a bit too sticky simply pop the piece of tape on your jeans or shirt before sticking it on your terrain and the fluff that sticks to it makes the tape less tacky (and as a side bonus de-pills your clothes!)
Next post we'll discuss the buildings. If you have any questions feel free to post them here and I'll do my best to answer.