What are you after, is the first question... if you want to make your own there's lots of good ideas above, or have a look at Mr Averages recent thread in this section on making a board, might give a few pointers. It's technically for FWC and more arid than desert but the idea's similar.
For desert, a base board (hard/dense foam, chip board, MDF, whatever!), then generous PVA-water mix, builders sand, spray a base colour, dry brush with a couple of lighter colours from cheap house paint (check the left overs/cheap bin at your local DIY places, they often have bits and bobs going cheap), spray varnish to seal, done. If you want to get fancy you can do a hard base, then a layer of foam and cut bits out the foam for depressions, wadi's etc, stick extra bits on for hills/dunes/escarpments, then do the whole sand > paint > seal, and you'll have a cracking 3d board ready to go.
Keep them manageable size (Mr Averages 2x2ft is a good size)
and you can swap out and switch round if you decide to make a few, vary the set up nicely.
If you want pre-made, ready to play people like Total System Scenic do boards through the post -
http://totalsystemscenic.com/ - and there are many other companies with similar. If you want something you can roll up and store then a terrain *mat* might be better. GW did some good and not unreasonably priced ones but I think they stopped, but Hotz Mats and others are good too -
http://www.hotzmats.com/. And best of all with that, Lidl (and possibly Aldi) do a really nice fake grass mat for about a fiver (doesn't help the western desert, but great for Europe or the steppes of Russia!) -
https://www.google.co.uk/webhp?sourceid=ch.... Or a cloth of appropriate colour - six by four or four by four of fabric from a local market or shop isn't expensive and gets you something to play on ASAP for minimal outlay! Books underneath give you hills/escarpments, and there's not much more you need for a quick deep desert game
I wouldn't go too expensive to start with - you can just get a four by four set up, small armies in the 1000-1500pt range and play some manageable sized games with a few tanks and infantry and a couple of guns either side to start with.