For sandbags I use modeling clay. Just roll the clay out into long ropes of an appropriate thinkness for the scale of figures/models you're building, then cut the rope into 'sandbag' lengths. While the clay is still soft start stacking them up into whatever design you want, then sit back and let it dry. Once it's dry I usually seal the whole thing with a light coat of white glue, then paint the whole thing a dark brown. From there start adding lighter colour layers until you're happy with the end result.
For concrete bunkers I use foamcore. Build the basic design of the bunker our of pieces of foamcore, then apply a very light layer of poly filler (or something like that) to simulate the rough texture of concrete and smooth out the joints between pieces a little. Once everything is dry base coat it with a dark grey colour and start dry brushing on lighter colours until you're happy with the appearence.