Saw blades, springs, the cheaper files are good and the same with power hacksaw blades -- the high-alloy exotic steels that don't heat-treat the same are expensive, avoid them -- although you can use high-speed steel to make a knife if you don't mind it being a bit brittle and don't mind grinding it hard (it's not so easy to anneal high-speed steel at home). It'll hold an edge like the dickens.
Try a spark test on anything you think might be usable and see if it looks the same as steels you're familiar with. Try annealing it and hardening it, and try a file on it after you harden it. Some of the scrap you find might be water-hardening steels, but most of it should be oil-hardening. If quenching it in oil doesn't harden it try water or brine. Use the magnet test; it's more reliable with unknown steels than going by color.
Using scrap when you don't know what kind of steel it is can be a gamble, but many amateur blacksmiths use nothing else to make all kinds of tools, and some pros use a lot of found scrap too. Just test the steel before you make anything crucial out of it....
It isn't just to save money; it's fun! Besides it isn't PC to throw things away -- recycle!
-Cougar Allen :{)