The Independence War Paper Models site has some very nice — and free — paper models of starships.
Germy’s World has a paper model for making your own dungeon, but what is more interesting is Victorian Cellar model that accompanies it. It’s perfect for gothic horor games as the lair of a monster, or mad scientist or cult.
The Alternate Realms site has several nice cardstock buildings, including some huts and a chapel. The page also has a couple of tanks and a science fiction walker vehicle. Finally, there’s a model of St Michaels tower on Glastonbury Tor (sp?).
There are a lot of superhero miniatures rules out there — both free and commercial. So if you want to try one without going to all the trouble to paint some minis, you could try some of the paper figures on this page.
Matt Fritz has some good instructions for drawing your own paper soldiers. This would be a good way to try out a new period!