Here is a quick tutorial on how I started making shrubs for my terrain. The idea has been around for quite some time and there are several mentions of it around the web. I learned from 'grove den' over at the Model Railroad Forums. His trees are simply spectacular as well, but that is for a different posting. ;)
First, pick up a package of steel wool from a hardware store such as Lowes or Home Depot. It comes in several grades and I picked a couple - the one below is one of the middle grades. Try to unfold it and keep the strands going in the same direction. Cut a section apart and tightly twist it in the middle. Put a drop of super glue in the center of the twist (thicker stuff works better than thin). After dry, you can cut it in the middle and end up with two sections that look like the one below:
Now, spray the shrub with hairspray (I use Aqua Net unscented) and then using a kitchen sieve, shake static grass on to the branches. These will hold the 'leaves' applied in the next step. Using the sieve gives a lot more control and prevents huge clumps of static grass being deposited on the branches.
Now you can plant them on your terrain piece (or train layout) and they look pretty decent with relatively little work: