I built a pair of columns - fluted and everything with gold capitals and fancy bases out of CONCRETE FORMS - which are cardboard forms for pouring concrete footers for posts and whatever.  They're about 4' tall and you can afix them together with about 4 - 5  6" strips of wood screwed to each section as you build the height.  The HARDEST part is getting three or four 4' sections to match exactly but that's NOT impossible. We stacked three of them together to make a 12' column and the seams created are NOT out of the realm of possibility when you look at concrete or even marble columns - they often are done in equal sections.  ALL the rest of the column was done in blue or pink insulating styrofoam sheets (pieces were cut from those).  OUR columns were 12" around but I think you can get 8" cardboard concrete forms as well as 12" and maybe even bigger around or smaller around too.  But depending upon the ceiling height (ours was about 15') the 12' column looked good.  The fluting is nothing more than strips 1" wide cut from the sheets of insulating foam.  They were glued on with Liquid Nails (in those caulking tubes).  The whole column was painted white.  I intended to marble them but just didn't have time.  Still looked good though with the gold capital and fancy bases.  The capitals were completely cut pieces from sheet foam and the bases were a combination of wood, pieces cut from sheet foam and also pieces cut from black foam pipe insulation.  I'd attach a photo if I knew how to do that.  I'll see if I can figure out how to do that.

You could use PVC corrugated roofing sheets which come in a myriad colours & profiles:-http://www.truskia.com/en/pvccorrugated.htm

From your description, it sounds like you could use a streched spandex column.  These are available in many different sizes and shapes from Rosebrand in NYC.  All it uses are metal hoops that form the column and the spandex material.  You could pin things to it, rotate it and even light it from the inside using low heat units such as LED's or even rope light. 

By the way, there are some companies who make full sized columns out of styrofoam. I'm sure they're quite expensive as they use them for actual architectural installations although they coat them with a strengthener and hard finish.  I've seen them. They look REAL albeit a bit "textured" looking owing to the finish they put on them to make them solid feeling.  And with that they are much heavier.  We had a set of two we used - actually they were two complete columns split in half so we had 4 half columns we used for The King And I when I directed it about 5-6 years ago.  Painted GOLD they looked tremendous.  And oddly enough the gold paint didn't eat the columns and that kind of paint does. 

Have you considered a fabric column?  I wouldn't suggest spandex, because as it stretches downward it will narrow in the center. My company just did an event with 8 foot diameter columns forty feet tall which were used in an event where with a lighting change revealed ribbon dancers in the center of.  Other projection and lighting effects are possible and lightweight objects can be attached easily with the type of fasteners that attach price tags to clothing.  When done with the lightweight object, you cut the fastener off with a scissors.