I've recently got into building my own pedals using PCB circuits from
www.tonepad.com and others. If you print the circuit out on a laser printer you can then iron the ink onto a copper clad PCB board. This takes a little practice to get right but you can always clean it off with a bit of paint thinners and start again. Ferric Chloride for etching and a little time and you have a working PCB. You need to be able to drill the very small holes for mounting components (0.8mm), the best bet is a Dremel or similar mounted in a mini drill press (you break less bits that way!). The components can usually be obtained from electronic component outlets (if you're in the UK or Europe I can point you in the right direction, just let me know, in the US try
http://www.smallbearelec.com/home.htmlthey seem to carry most bits).
So far I've built a compressor, two TS808 clones (one for a mate), a couple of different choruses and a couple of tremelos, one of which I haven't got working yet, along with a Brian May Treble Booster. I'm delighted with all of them (apart from the non working one!) and the cost has been a lot less than even buying a kit far less a manufactured pedal. I don't even know very much about electronics though I'm learning as I go. All you need is the ability to solder and do the necessary drilling, etc, of boxes to contain your new effects.
Be warned, it is seriously addictive and I am now a stompbox nutter, sitting on the net throught the night searching for new and exciting projects!!