This tip requires that you have a manually controlled aperture on the lens of your camera.

Try to avoid photographing your action figures against a distracting background, but if you are in a situation in which you have to, use a large lens opening (F2.8, F4, etc) to decrease your depth of field.  This will produce a cleaner background by it being out of focus.

The exposure for this image was 1/4 of a second at F16 (ISO 100 film).  Notice how distracting the house in the background is and the chimney coming out of the left soldiers head is particularly disturbing; it totally kills the sense of realism and helps to provide evidence that these are just toys.  My camera was attached to a tabletop tripod and a 50mm lens was used.  I help reduce any camera vibrations from the long shutter speed by using a cable release and the mirror lock-up feature.

The same set-up* was photographed using a large lens opening of F2.8.  Notice how less distracting the background is and how your eye now focuses on the action figures.  A trade off to using a large opening is that not all of your figures will be in focus; you have to decide what is the focal point of the picture and focus there, while letting the rest blur.  Depress your depth of field preview button and rotate the aperture ring until the background blurs/sharpens to your liking.  My exposure was 1/250 of a second at F2.8.  However, this short depth of field is unrealistic for daylight photography.  Try to avoid things in the background that do not fit the time period.  Looking at actual photos of similar scenes can help you determine what should be in focus.

*For the eagle eyes out there - note that the German soldier fell before I could shoot the F2.8 exposure and so you will notice that the scenes do not match exactly.