Depending on the architectural structure you want will determine the materials used. Thick heavy arches al la bridges can be carved from thick styrofoam like you find in electronic packaging. Or use the florists foam (green) you find at craft stores. Small courtyard entryways, can be made from drywall cut to shape (also found at DIY stores in the scrap bin and in some cases you can pick up chunks that would be thrown away that are used as spacers by the retailer between stacks.), the panel insulation you find at DIY stores that can be 1/2", 3/4", 1", etc. This can be cut and shaped. MDF, plywood, scrap wood all make for great bases for architectural elements and are easily shaped and mounted to a base to provide a platform for decoration. Cork, again found at DIY stores can be cut and added to theses surfaces to make key stones, edging, plinths, mantles, etc and looks like rough stone when painted. The styrofoam can be covered with drywall paste, spackle, putty and textured and while curing, masonry lines and decoration cut, sanded, imprinted etc into it. Its cheap, handy and drys fast. Once dry you can make bullet holes, scratches and damage just as stucco or stone would suffer from battle damage and weathering. Paint and dry brush to taste to fit your scene.
Foam can be glued with white glue, or 3M makes a Liquid Nails specifically for gluing styrofoam.
Just remember to make your architectural elements in scale with your figures. A garden wall is not made from the same size stone or brick that castle walls, the pyramid or the Arc De Triumph is made from. It works if its believable scale with your diorama or vignette.
Good luck.
Mike
"Imagination is the dye that colors our lives"
Marcus Aurellius
A good friend will come and bail you out of jail...but, a true friend will be sitting next to you saying, "Damn...that was fun!"