Depends on what you're trying to make.
My knowledge is far from extensive, just know from my own searching.
Most plastic interior parts you see is done with RIM (reactive injection molding). No cheap way to do it. Well there is (thousands vs hundreds of thousands), but I have a feeling the cheap way isn't cheap enough.
Thermoplastics require a ton of heat and pressure and the molds too are expensive. And any complex part with molding, there's a good chance even if you could make one cheap, would get stuck in the mold due to undercuts etc if not perfectly made.
There used to be a material called Friendly Plastic I used years and years ago. Basically pellets that became workable in hotwater and dried rock hard. Was cool stuff, but looking for it last year, I don't know if you can get it and apparently it doesn't last. Plus cars get pretty hot.
There are vinyls and polyurethanes you could get that are pretty rigid (or can be) that are easily moldable. There are used extensively in movies. Here is one place to get them. Wether it would hold up in a harsh auto environment? Dunno.
Oh yeah, you can always use lathes and what not to mill plastic depending on the part.