The best bangs for your bucks cost/weight wise is probably aluminum tubing or rod. It's pretty lightweight and has pretty solid strength. Hardware Stores (Lowes, HD, etc) might carry some stuff, but you'll pay much more there. Your best bet it to find a metal supplier and buy some directly from them.
Aluminum is fairly easy to cut. Obviously a metal bandsaw or chopsaw is the best way to cut it, but you can get by with a hand saw. It all just depends on what tools you have access to.
If price isn't a factor and you want to go high tech, you could go with carbon fiber tube or rod. Cost is way more than aluminum but the strength is through the roof and it weighs next to nothing.