You know, if you're looking to go the small and super cheap route, you can always do one like mine:


Basically all this is, is one of those plastic 3 drawer units you can find at Big Lots, K-mart, Wal-mart, etc; cut remove the drawers, cut out the drawer slides on one side (or leave them be and just use the narrow side, if you don't mind the smaller window), the apply white cloth ($1.47 at JoAnn's fabric for 3 feet of linen, which is about 1 foot more than you'll need). Tape the fabric in place with either clear packing tape or translucent duct tape. Total cost is less than $10 and it works great. Slight downside is the "floor" is sometimes bowed in; a sheet of foamcore can be slid into place to provide a level surface, though I mostly just position my figures around it.
For backgrounds, cardstock fits nicely, or you can do what I've been doing--get foam rubber sheets from a place like Michael's or AC Moore, at $0.99 a sheet. So far I've tried black, white, red, blue and goldenrod (see my customs thread over in Critiques for examples) with blue being one of the better choices. Green is next. Black really brings out details (like dry-brush) but tends to cause glare on things like faces, while white does the opposite.
My light setup is just two clip on desk lamps, with 100W energy efficient bulbs (those new kind, the twisty ones); clamp then down and aim them in from either side. What's nice is I only need a little table space to use it, and it tucks neatly under my coffee table when not in use (I wrap in in a plastic bag to keep the cloth clean.)
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