The Ultrawerke Blog has a good tutorial on resin casting. That’s a useful skill to have when you want to make multiples of some part you’ve produced.
Remember. Casting some else’s work is stealing.
modeling
Building A 3D Space Hulk
Although it was essentially a rip-off of Aliens, as a game, Space Hulk was one of GW’s best game efforts. Here’s a tutorial on building your own 3-D Modular Hulks.
DIY Punch and Die Set
The Ultrawerke Blog has a post on making your own punch and die set — useful for making scale model rivets, bolts and nuts. Just the thing to dress up your miniature wargames vehicles and armor.
Making Fire and Smoke
Here’s a nice photo tutorial on making fire and smoke effects for your wargames miniatures. The author has done a nice job on this one.
Make Your Own Laser Cutter
The Instructables site has a tutorial on making your own laser cutter. It uses a pair of old scanners for aligning the x and y axes. The entire project can be done for under $50. As far as I can tell, it will only cut paper … but with a stronger laser and power supply, maybe you could cut cardboard counters, or cardboard bases.