This article is from the Miniatures Painting FAQ, by Brenda Klein firstname.lastname@example.org with numerous contributions by others.
This depends entirely on what you're using the miniature for. If
it's a display model, then you can get fancy. If it's for military
gaming, you'll want a durable, realistic look. If it's for fantasy
play you'll want durability and likely not too much fuss. Standard
materials for bases are: the plastic slottabases many companies both
supply with their products and sell seperately, pennies or flat
washers, cardboard (not recommended - bends too easily), tiles, wood,
sheet metal, matt board (available at art supply stores), and magnetic
strips (often bonded to one of the above materials). Filler and water
putty have both been used with success, and someone also has claimed
to make his own bases out of hot glue.
The general rule, of course, is the more use the miniature gets, the
stronger the base material should be.