I use EMT (Electrical Metallic Tubing) conduit in a lot of my projects. EMT is cheap, smaller sizes are bendable and it is readily available at local home supply stores.
There are potential health problems welding EMT however. Please read this (and other Instructables warnings) before you consider welding EMT.
The biggest problem is that toxic fume are given off when the welding arc heats up the galvanized coating on the EMT. These fumes (mostly zinc oxide) are toxic, as in poisonous to breathe!
See this Instructable for a description of the risk: http://www.instructables.com/id/Bicycle-cargo-trailer--200-lb-capacity%2c-%2430-for-pa/step11/Safety-considerations/
NOTE: DO ALL OF THESE STEPS OUTDOORS IN A WELL VENTILATED AREA!
I am an amateur welder (not even close to an expert!) and to minimize the risk as much as possible I use these three steps when welding EMT.
BE CAREFUL. BE EXTRA SAFE. DON'T BREATHE IN ANY FUMES EVER. DON'T GET IN A HURRY AND SKIP ANY SAFETY PRECAUTIONS. USE A RESPIRATOR IF YOU ARE NOT POSITIVE YOU ARE AVOIDING THE FUMES.