Dave and Tom beat me to the punch, though I have a slightly different methond for making my own than Dave.
GW bases are either 20mm x 20mm or 40mm x 12mm, 2mm thick, and have 1/4" diameter holes recessed 1mm into the base. Thus a simple but somewhat time comsuming way to make you own bases is out of 1mm/.040" plasticard. I use regular sheets, not tiles, since there's more flexibility in size that way. Say you want to make a 40mm x 12mm base. You cut two panels to size, and use a standard hole punch to put holes in one. I find it useful to clean the holes with a drill bit to ensure good fit. Then glue them together and bevel or round the edges.
You end up with something like this:
As you can see the nice thing about this technique is that you have total control over how you set up your figures.
Edit- sorry about the picture - I'd forgotten it was that blurred.