If you don't have access to a laser cutter you could use a laser cutting service like this:
http://www.razorlab.co.uk/. I have used Razorlab and found their service very good and quite reasonable. They are based in South London, UK.
Or you can try and win one with the instructables contest:
This is a great project for anyone who wants to design or make their own chess set. You can use this one or modify the design to your own requirements. This chess set is small but could be enlarged if you wanted a bigger.
Step 1: Create Template for Laser Cutting
Decide how big you want the chess set to be. This may be determined by the size of the laser cutter you are going to use. It is probably worth speaking to the laser cutting service to find out what size they can cut up to and what file type they accept. Inkscape is great for creating your cutting templates and also allows you to export to DXF which most laser cutters use.
Next you can start designing your chess pieces. Don't feel restricted by the common design of chess pieces. Try something new. Look at this modern chess set: http://oklosangeles.blogspot.co.uk/2010/01/modern-chess-set.html
When working with acrylic you have to remember that quite often it is only a few millimetres thick. This means that 3mm thick or flat chess pieces will not stand up by themselves. This is why I have included a small rectangular hole in each chess square with a matching plug on each chess piece. You should do the same.
Step 2: Assemble Your Chess Board
The chess set featured in my introduction image has been cut from one small clear acrylic sheet and one small black acrylic sheet. This means you will have to laser cut this template you can see in the image twice.
The board squares were cut out and combined together to get the checkered chessboard effect. The squares are then glued into a square acrylic frame which was also part of the laser cutting template. Acrylic glue is not advised as it drys too quickly and can leaves marks. Try a less quick drying glue that is strong instead.
You could do this without the black acrylic and just laser etch the white squares and pieces to save money and materials.
You might want to check the dxf files before you use them. I exported these from Inkscape so they might need modifying for your laser cutting service or laser cutter.
If you want to try this with my design. I have included 2 DXF files. One laser cuts the chessboard squares out (needing assembly )and the other etches them and the chess pieces (no assembly needed).
This is a small chess set approx 160mm x 160mm.