I have made columns that were quite elegant by using 8-inch diameter, 8-foot long carpet tubes.  To remove the spiral seam on the tubes, I covered them with a single layer of muslin glued on with a strong mixture of carpenter's glue and water.  Take care to make sure no wrinkles occur and the weave of the fabric and the seam are straight.  That seam will be positioned upstage on the finished column.  The bases and caps were fabricated from stacked layers of wood in decending (for the caps) and ascending (for the bases) diameters.  To make them perfectly round I used a fixture on a tablesaw (trust me, it can be done).  Only the smallest diameter circle on the caps and bases had a clearance hole cut the same diameter as the covered tubes.  To "fancy them up" a bit, each layer was then edged with a roman ogie router bit before stacking them and gluing and screwing them together.  I plugged the ends of the tubes with 2-inch thick, circular-cut wood and fit the tubes into the bases and caps.  Using 3-inch screws from counter-bored clearance holes on the top of the caps and the underside of the bases, I assembled the caps and bases to the tubes.  I used a thin bead of caulking (smoothed out with my finger) to close any gap between the base or cap and the tube.  The assembled columns were then painted to match the set.  The bases were large enough that the columns were stable and stood vertically straight and looked great.  The whole process only took about two hours.

Also, check out your local home improvement store.

In the concrete section there is a product called
Sonotube? which is a cardboard tube about 8" (or
more) in diameter.

They can be stacked together and disguised as
mentioned in the above posts.