(For more information on Kettle Bells and what exactly you do with them, I recommend Crossfit.com
and good old Wikipedia.)
Kettle Bells come in several sizes, but are generally measured in poods (1 pood = approximately 36 lbs). A 1 pood kettlebell will run you easily 50-60 dollars. The one in the photo is about 30 lbs, which is plenty to get you started, but you can feel free to add some more weight as you see fit. It cost me about 10 dollars to make (though some materials and tools were free, so prices may vary)
So why not just use a dumbbell? Why does it have to be round? Essentially, the centered/raised position of the handle allows the main pay-load to swing, which means that you have to use your grip strength much more to control it, and it becomes harder to use natural mechanical advantage to lift the weight. Example: doing curls with a dumbbell, there is a point towards the top of the motion where your forearm is pretty much all the way underneath the weight, and you no longer need to engage certain muscles to finish the motion. With a kettle bell, the weight is very difficult to really get "under," so it will make many exercises more difficult and therefore more productive.
This Instructable involves welding, bending and shaping metal at high temperatures and working with concrete. PLEASE follow all safety guidelines, know what you're doing and wear appropriate protection when working with fire, welding gear and metal working tools. Also, exercise with kettlebells can be strenuous. Please consult a physician before using this training aid. A homemade kettlebell is no substitute for a cast-iron one and it is possible for concrete to break off, etc. while using one. Please be aware of these dangers if you choose to proceed. I take no responsibility for misuse of the information provided in this tutorial.