Need a bit more informatiion on your shooting area, like distance, background (what's behind the target area), caliber that you plan on shooting.
I can tell you that one summer my cousin and I found that charcoal briquets were a great target. Cheap, biodegradable, gave off a satisfying puff of smoke when hit. At least until his dad came out of the garage muttering to himself that he was sure he had a bag of charcoal in there. Needless to say, we made a quick trip to the local store.
A bullet of just about any caliber will go through a hay bale like it wasn't there. What you might improvise is a cardboard box with the old telephone books lined up front-to-back, and put a target on the end of the box. The progressive density of the phone books should stop just about anything, and allow you to research the bullet deformation as things progress through the pages. A satisfying way to recycle phone books, too. You need a solid background, also. Something like this could be taken out to an old gravel pit, and brought back after the shooting session.
A buddy of mine took a bunch of old tires stood them up (as if on a car) and filled the bottoms w/ quickcrete. after drying he took them and stacked them on top of one another (like vertical lifesavers) around a 2" diameter pole sunk 2' into the ground, making sure the quickcrete was to the back. he then filled the entire column of tires & pole with sand. This was in front of a natural berm (in case he missed) that bunch of tires has seem more rounds than I care to think about. Lots of work but years of fun!