When considering making something yourself, it's important to ask yourself why you want to make it from scratch instead of buying it.
If you want to save time or money, be careful... for many items, the cost of getting the raw materials can often eclipse any savings you were expecting. There is also the cost of time you'll need to invest in making it. Not to say this should discourage you from doing it anyway, just go into it having realistic expectations. Some things are a big savings when done DIY, some not so much... do your homework first.
If you just want the experience of making something by hand and/or you want to control what goes into it, then carry on!
One thing that I probably don't save any money with, and I certainly don't save time, but still love making from scratch is vanilla extract. I love the simplicity of it (alcohol and vanilla beans) and the flexibility it gives to experiement with different recipes. I can't bring myself to use the store-bought stuff anymore, and I sure as hell won't touch the imitation stuff... according to Wikipedia: "Most imitation vanillas contain vanillin, only one of 171 identified aromatic components of the real vanilla beans. Vanillin can be produced synthetically from lignin. Most synthetic vanillin is a byproduct of the pulp and paper industry, and is made from waste sulfate, which contains lignin-sulfonic acid." Mmm! Pulp byproduct ice cream! My favorite! *gag*
Let's start with the alcohol. Personally, I grab a small bottle of inexpensive vodka (40%) and that does the trick for me. Vodka is a good starting point... however you can also use other spirits, such as brandy or rum. Vodka, with it's higher proof, will give a more intense finished product, while the others will impart different flavors and colors. If this is the first time you're trying your hand at it, I'd suggest going with basic vodka. You can use it as a baseline for taste, as well as making it easier to tell when it's ready to be used based on the color.
The other part of the equation is, of course, the vanilla. For this you will use whole vanilla beans, about 6 beans per 250 ml of alcohol. Since I don't splurge on the alcohol aspect of this, I can put a bit more into the beans, which, in my opinion, has a bigger impact on the finished product. One of my favorite shops at the Jean-Talon Market (my favorite place in the world on weekends for 6-7 months of the year), Olives & Épices, has a 'kit' to make vanilla extract. They provide the bottle and the beans, you provide the alcohol. They also sell the beans individually and have quite a variety... from the top-dollar Tahitian to mid-range Madagascar and Uganda and a number of other producing countries.
Get what you budget will allow... in the case of making an extract, it isn't necessary to get the super-fancy-schmancy Tahitian beans. The slightly less glamorous (and more affordable) Mexican or Madagascar beans will give an equally fantastic extract. Once you have your alcohol and beans, you just need a tight sealing bottle and you're ready. Make sure the bottle is clean, a good scrubbing or cycle through the diswasher will do the trick. You can leave the beans whole or cut them up, but at the very least split them with the tip of a sharp knife. This will allow the seeds to wander around and will speed the steeping process. Toss it all in the bottle, give it a good shake, and put it somewhat dark and cool. Remember to give it a shake now and then, and wait... It will take upwards of a few months for the extract to be ready to use, so you can't be in a hurry for this one.
If you're a vanilla fan, or just want a minimal-effort DIY project to try, this is a great one. If you plan enough in advance, this can make a great holiday gift in a decorative bottle paired with a recipe that calls for vanilla extract. Dangit... now I'm craving crème brûlée...