Take a dowel, and spiral wrap (in both directions) some wire around it.
Then, using a 50/50 mixture of white glue and tissue paper, wrap this over the dowel and wire. You can use a couple of layers for this. Once dry, paint to the color you want and dry brush to add some texture.
The fronds can be made from paper, or silk plants that you cut to look like fronds, (dependent on the species of course). I've also seen some interesting fronds made from from bird feathers. Roughing them up with some white glue and painting them made some pretty convincing palm fronds. Coconuts can be made from some of the dried beans, or peas, painted to look like coconuts or you can use seed pods or make them from sculpey or fimo.
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!"