I often sing the praise of C&D. You can build almost anything out of Cardboard & Ductape! It's also wonderful as a indoor knife-throwing target.
Take a wood board and a couple of Pizza boxes. Open the boxes flat, tape accross the middle and around the edges and secure them to the front of the board. That's it! DONE! Start throwing!
You need about 3-4 layers of cardboard to start. After it starts getting chewed up get some more cardboard and tape right over the other layers making it thicker. Cardboard you can get free or cheap. Around here you can go to your local Liquor store on the days they get their shipments in and they have hundreds of boxes you can take for free. Pizza boxes work great for the size targets I have.
Also...if you just want a real quick target for screwing around you can do it the easy way...
Cardboard works great for indoor targets. The knives don't make as much noise when they miss and they also don't bounce back as far. The cardboard does a great job of dampening the force of the throw. When it starts getting later in the day I'll put my cardboard targets up infront of my wood targets so I can throw into the night and not make noise that might bother neighbors. These smaller targets are also handy to move around. As I'm a Bachalor and can do what I want I may set them on the couch and toss at them or, like tonght, set them against the other way and throw little knives into it while I watch movies. With these you can throw ANYWHERE.