I just use tupperware and/or cardboard boxes, complete with random packing material (wadded tissue paper, bubblewrap, that sort of thing). No real problems so far, though I may invest in something a bit more solid, with proper foam inserts.
I've got so many different armies now (40k, WHFB, ACTA, ST, Full Thrust) that my initial GW case isn't enough (it isnt even enough for all my eldar once you factor in tanks). And I can't be bothered to fork out 50 quid to get a box for each.