I would say chicken wire and papier mache - I've used it before to make a tiara and as long as you paint it well, it looks pretty convincing. Also it gives you the freedom to fiddle with the shape and the details as the wire is very malleable. I'd get the shape right first before using the papier mache as once you start putting the paper and glue on, it becomes rigid.
Also, it's quite light, which is good.
**MCM Expo October 2010: Jill Valentine RE3 (completed, worn, AWESOME)**
Helga Hufflepuff - May MCM Expo?
Barricade - Auto Assembly 2011
Joanna Dark - October MCM Expo?