There are many resources available for DIY panniers. Steven E. Pav
has an awesome write up on sizing and making custom panniers from the ground up - this is excellent reading.
Of course, there's your DIY standard "bucket pannier" made from old cat litter buckets (or similar) as seen here
or [http://web.archive.org/web/20050208161130/http://members.rogers.com/bphuntley/BikeBucket.html here] or even here
. While utilitarian and high capacity, these lack a certain sense of sexiness. You can make the panniers seen in this instructable for the same price as these bucket panniers if you use some recycled material.
There's also the surplus army bag conversion - [http://web.archive.org/web/20041020064156/http://www.twowheelfetish.com/Ezine4/diypanniers.html as seen here by Peter Moore].
You could, gasp!, buy panniers... Arkel makes some great bags - the one closest to my DIY version is the Arkel Bug Pack
. It's convertible - it goes from pannier to backpack easily. It also has a quality engineered mounting mechanism. The price isn't something I get excited over, $165... But I've met a happy customer, and will vouch that it is quality.
Photo Credit (Buckets): Brian Huntley