built of mud, sand, shi... well, soil. they are tall pillars that rise from the ground, they have inside fungus gardens, deposit chambers and even a royal chamber to the queen. But the most impressive is the air recycling system! totally emergent from construction (or do you think there is a special "architect" type of termite?! Or more basic, if they even know why they build in this way!)
Here is a youtube Video from a documentary that shows one of those marvels of insect world: