There are many ways to make blades for wind turbines. Below I have links and descriptions for some of them.
PVC blades
PVC blades can be made from PVC drain pipe or tubing. See
this post for the 'Zubwoofer' style of blades and
this for an alternative way of doing them with cloth to build up the airfoil shape, since PVC blades do not have a proper airfoil so do not perform as well.
Wooden Blades
Wooden blades are the most commonly used type of blades on wind turbines. There are many approaches to go about making them but one thing is important:take your time with them.
See the otherpower page for a less 'scientific' approach
here or hugh's website
here. On a side note all of hugh piggotts books are definitely worth buying for any wind power applications. Fiberglass blades are an alternative but are generally not well made although WXYZSCIENCE has made them succesfully using foam moulds as seen
here. If anyone else has anything to add then please do.