Basing your figures

This is technique is optional; you can play a perfectly decent wargame without basing your figures, but they will look infinitely better, not to mention work infinitely better, if they are based properly.

Italeri Gauls based for DBA.
This is an example of multiple-figure basing

A Zvezda French archer based individually on a US penny

Basing is essentially just sticking your figures on a flat thing. You can base your figures individually or together, depending on what wargame system/rules you use. Always figure out what rules you will be using your figures for before basing them! The rules you use will affect how you should base your figures. If you are using the DBA system, or something like it, you will need to base multiple figures on a single base, according to the rules, so check your system before basing. For instance, your gaming system's rules may call for three infantry figures on a 40mm base. Glue these three figures equal distances apart from each other on the base. When I'm not painting figures with a specific wargame system in mind, I base them individually. 

You can use a variety of different materials for basing your figures: pennies, washers, plastic math counters, cardboard, and other materials all work fine. Personally, I prefer pennies, because they are inexpensive (despite the fact that you are literally destroying money!) and easy to get a hold of. Everyone has a change jar of some sort. Pennies are also ideal because they are the perfect size for almost all 1/72 scale infantry (I say infantry because if you have cavalry, chariots, etc., you may need a larger base, like a quarter or something.)

I base my figures before painting them, because this will give you a surface to hold on to while painting your figures. I use regular plastic glue, the same thing you would use for making a model airplane.

Put a blob of glue on the bottom of the figure's original base and glue it in the center of your base (or, if you are going to base multiple figures on a single base, measure out the distances between each figure). Don't worry about excess glue getting squished out from under the figure and on to the base; this won't matter in the later stages. Press the figure down firmly on top of the new base.

 Next, apply your filler. I use regular multi purpose filler, the kind of thing you get in a reasonably large container from the hardware store. Using a toothpick, spread a little filler all around your figure's base, so the surface of the base is all roughly on the same level. At this point, while the filler is still wet, I usually press sand or gravel into it to create a textured look. Depending on what type of terrain your figures are on, you'll go for different techniques. For instance, if you are modelling desert figures, press a bunch of sand into the filler and paint it a sandy color for the sand dune effect. If your figures are on grassy slopes, you may not need the sand, and just apply the flock instead.Use your imagination and find different types of materials that could look good on your bases.

Alternatively, some people skip the filler and just glue a bunch of sand or other material onto the base. I don't like this as much because it's not as sturdy, and there is inevitable a slight hill effect because of height differences.
You could use little twigs for fallen logs, pebbles for boulders, or even old toothbrush bristles for tall grass.

Flock is the one base finishing product that you will probably need to buy. There are essentially two types of flock: fine foam shavings and longer, more delicate static grass. I like static grass better - it looks more realistic and grass-like. However, the foam-sawdust flock is much better for flocking large areas, such as hills.
To apply the first type of flock - foam shavings - I usually paint the whole base green first. Then I paint the base with white glue mixed with water, and dip the whole base into a container of flock. I use little Altoid boxes full of flock for this. Once the base has been entirely coated with flock, let it dry then lightly tap the excess into the box again. Alternately, you can do this in patches, painting the base brown or gray first.
To apply the second type of flock -static grass - I usually do it in patches. I just think this suits the nature of the flock better, and makes the base look more realistic. First choose what your base color will be - a sandy color, brown for earth, or gray for rocks. I then do a black wash over it to bring out the shadows, followed by a quick dry-brushing job to bring out the highlights. Then paint a glue/water mixture on in patches, a little here, a little there, then dip the base into your static grass Altoid box. Press the grass firmly into the glue, then let dry and tap off excess.

For basing figures together on a larger base, as you will often need to for certain wargame systems such as DBA, essentially the same techniques are used. If basing two or more figures on a single stand, experiment with different positions to see what looks best before gluing them on. Once you have your formation, coat your base in filler and glue your individual figures onto it, sloping the filler around their bases to create a gentle gradient. Use sand, pebbles, and flock as necessary to complete the base.

Below are some examples of different base types.

I like this type of terrain a lot; it works for a wide range of areas and climates, and look good, too. To make this terrain, I stuck patches of sand in the bases' filler while wet, then painted the base brown and used two types of flock - static grass and regular turf flock - for patches of grass.

For these guys, I needed a dry, dusty effect for the interior of the compound at Rorke's Drift. I used a lot of sand in the filler and painted the bases light brown, then drybrushed heavily in buff.

For these soldiers, I wanted a semi-urban feel, so I painted the base dark gray and drybrushed in light gray for a rocky finish, then stuck on some patches of static grass. This terrain is not very life-like, but it achieves the effect I was going for: a ambiguous and ubiquitous terrain that wouldn't be out of place in a city or in open terrain.