Building Sleds
Use two old water or snow skis with a piece of plywood screwed or nailed on top between them. Make sure the skis are parallel to each other and firmly attached to the plywood. Add a rope tied to holes drilled in the tips of the skis for steering. This makes a great, fast sled for two to three kids or one grownup.
Saucer sleds can be made from round, metal garbage can lids. Remove the handle with tin snips and pound the ridges out with a rubber mallet. Drill two half-inch holes in the rim about 24 inches apart and tie a nice, stout rope between them. Spray a heavy coat of Pam, or other nonstick cooking spray to the underside.
A heavyweight plastic carpet runner, or door mat, usually made of clear, flexible vinyl like plastic, makes a good sled. Use a utility knife or sharp scissors to cut handle holes an inch from one end, wide enough for your hands, and about an inch wide.
Improvising
Car, truck and tractor inner tubes can be overinflated and used as tubes for sliding. Water toys, such as heavy duty float rings and foam rubber pool floats, can be used for sledding as well. Rubber rafts tend to be difficult to steer and rarely stay inflated long enough to be much fun.
A heavyweight cardboard carton can be coated in bees wax, available from craft and hobby stores for candle making, and makes a workable short term sled for soft snows. You can also use camp spray or other waterproofing, such as Scotchgard to coat the cardboard and make it water resistant.
Cardboard coated in one or more layers of duct tape works well. Make sure to press the duct tape down firmly and cover all exposed edges to prevent moisture from seeping into the fibers of the cardboard. Avoid square corners and seams, which can catch, slow down the sled and weaken it.