This is a great project for those who want to make something cool, easy and useful in 30 mins or less. The cost of the materials for this project was essentially $0 if you don't count nails (which you probably already have). I actually made two of these. One I finished with raw linseed oil and the other one with nothing, just to see the difference. With the pallet wood you can get some really nice grain and patterns and my mallets have held up very nicely over weeks of intense use.

Step 1: What You Need

Materials:

Pallet Wood - pallets are literally everywhere if you live in the city. I get mine from the tennis club nearby but just ask stores near you if they have any pallets they are willing to give away.
Nails - I used annular ring nails that were about 1.5" long

Raw linseed oil (optional - I will show a comparison between using it and not using it later on)

Tools:

An already existent hammer
Jigsaw - personally my preferred cutting tool for this project but other methods work as well
Something to sand with - I used a B&D sanding mouse
Pencil
C- Clamp 2"

Step 2: Cutting

Using your jigsaw cut out the following pieces:

Head Pieces 3 pieces that are 5" Long, don't tamper with width and height, but try to use the same piece of the pallet when making the three head pieces as it will mean you will get a consistent width and height
Handle 10" long, 1" wide, don't tamper too much with height but insure it is nearly the same as the head pieces

** Note: when I refer to heigh, length and width, I am referring to when the wood is lying flat on a horizontal surface, as pictured above

Step 3: Cutting Out a Place for the Handle

Trace out the portion of the handle that will be in the head. Make sure a small part of the handle is popping out of the top (like 0.5") because this is how it will be when everything is put together. Then cut out the hole for the handle.

Step 4: Put on the Handle

Sandwich the handle between the three layers of head pieces. You can either clamp this stack together or commence to the next step without the use of a clamp (like I did).

Step 5: Nail It

Each side will have three nails. On one side, nail the two bottom corners and the top center (the part going through the handle). Then flip the mallet around and nail the top two corners and the bottom center. This should keep it super sturdy.

Step 6: Sanding

My Black & Decker mouse with 180 grit sandpaper worked a charm on this mallet. Of course you can always hand sand as well.

Step 7: Finishes

While using raw linseed oil is a great option, you can also go with no finish. It is up to personal preference, so I am giving you a comparison to look at. On the left the mallet is unfinished, and on the right it is finished with raw linseed oil.