http://www.plasticbagbag.com/

Fold the bag in half, then one or two more times.

Cut off ends and discard. The real crafty may use these pieces for decoration.

All you need are plastic bags, scissors, and a crochet hook.

Loop these circular tubes together to make the yarn.  Like so...

Like this...

1. Loop one through the other.
2. Pull. 3. Add another loop and repeat.

 
Then roll it up into a ball of plastic yarn.

And you're good to go.   Learn how to crochet on YouTube.

Done...