A plain, smooth plastic box is not a very convincing building. You'll need doors, windows, trim, winged skulls, pipes, vents, boxes, rivets, etc. to make a building look right. Most of these can be added just by cutting them to size and gluing them on. Some are more specialized. The best way to make a building look like brick is to use brick wall sections! Some train supply stores carry complete or modular brick building kits, just remember to get wall sections that are at least 3"high.
Detail is usually added to a model after basic construction is completed but before the model is painted. The quick way to add lots of detail to a model is to use Texture- something that covers large surface areas quickly with detail. Fine Detail like Rivets or Gargoyles can also be added, but requires a bit more patience. Combining the two can make a very effective model. Be sure to check out the SHOPPING section for tips on where to find cheap, effective detail bits.
Imperial scenery tends to have a lot of skulls, gargoyles, and Imperial Eagle icons on it. For gargoyles, check out GW Mail Order for epic scale demons, arcane architecture, chaos familiars, and other goodies- especially the sprues from Mordheim! You can use plastic bats from Warhammer Quest also. Be sure to check in with the local Gothic shop (or if you live in the US, check around Halloween) for plastic novelty Skull rings. Just clip the ring portion off, sand them flat, and glue them on! For nice looking wings, check out your local airport for Airline Promotional badges (often the airline's logo with wings on it). You can even combine the plastic skull with the airline badge for an impressive looking winged skull!
A quick way to make nice looking ladders is to use HO scale railroad track. Use a pair of pliers to gently twist the metal rails off the plastic ties. Then clip the outer ende of the ties off with a pair of nippy cutters and sand the edges smooth. Now just glue the ladder into place and paint it with metallic colors.
You can simulate corrugated steel panels by using ribbed floor matting, or scored sheet styrene (available in most model and train shops). For large pipes (chimneys or drainpipes), glue a small square of sheet plastic(or a small round plastic shield) to the building to act as a base plate. Then drill a hole through the plate the same size as the pipe you want to install, push the pipe in, and add a bit of glue to hold it in place.
For small pipes, like conduit and drainpipe, Drill a small hole and glue in the end of a piece of thick plumbing solder. Then bend the solder as you see fit, going around windows and corners until it re-enters the building or hits the ground. Then glue the solder flat against the building. To make brackets that look like they're holding the pipe in place, cut small strips of sheet lead and bend around the pipe so they are flat against the building on both sides and glue in place. Then glue rivets on the flat ends.
For convincing vents, cut a small square hole in your wall and glue some grill or screening to the inside of the wall. Add trim around the hole if you want by gluing short strips of plastic on, and add rivets on the corners. For air conditioning boxes, use any unique small box shape and attach to your wall over a window. You can use vehicle hatches on any small box shape to make a convincing power box or water meter, especially by adding a couple of pipes to it that go into your building.
Add I-beam plastic or model picket fences around the top of your building to make a nice rimmed roof- this not only looks good, it helps keep your miniatures on the building. Don't forget to attach power boxes, oil drums, stacks of crates, and other refuse onto the back and sides of your building for extra cover and to give it that "lived in" look. Don't worry about putting detail on the inside of your building unless you have really large windows, or you really want to do the extra modeling.