You can build one in an afternoon if you stick with it and it can be made for under $100. We didn't stain ours because we like the look of the bare wood (haha) and it wasn't worth the effort.
After we had the idea, we started looking around for plans. None of them really fit our situation exactly, but we used some ideas from each of them. You can manipulate, add or subtract from these plans. They are just what suited us.
There is a Google sketchup file I uploaded that is the project.
Step 1: Materials
~Drill with various bits
~Saw - capable of cutting at right angles (miter saw)
~Clamps - preferably C clamps.
~Wrench - preferably ratcheting
~ (1) Twin sized mattress
~ (1) sheet of 3/4" plywood (get it cut to 39 inches by 75 inches at the place if possible)
~ (12) 2x6's
~ (6) 2x4's
~ (16) 3/8" carriage bolts
~ (16) 3/8" ID 1" OD Washers
~ (16) 3/8" nuts (locknuts if you wish)
~ (1) pack of 3 1/2" screws
Step 2: Measure Twice, Cut Once.
A good suggestion is to also cut off a half a centimeter before measuring so you have a nice good end on the finished product.
You will need to cut....
~(2) 39 1/2 inch pieces from one 2x6. front and back support
~(2) 72 1/2 inch pieces from 2 2x6's. side supports
~(1) 78 1/2 inch piece from your prettiest 2x6. shelf
~(4) 81 1/2 inch pieces from your strongest looking 2x6's. back legs
~(4) 71 1/2 inch pieces from your strongest looking 2x6's. front legs
~(1) 39 1/2 inch piece from a 2x4
~(1) 74 inch piece from a 2x4
~(4) 42 1/2 inch from 2 2x4's
~ and cut the sheet of plywood to 39"x72" if you didn't already
Step 3: Build Legs
Line them up as shown in the photo making sure to make them as flush with eachother as possible. Drill a pilot hole in the end and drill in the screw. Then move about a quarter of the way up the board and line it up, making adjustments if needed. Drill and screw keeping the board lined up. Do this until the end of the leg and then do the same with the other boards.
Step 4: Set Up Legs
Step 5: Install Side Supports
Now with your two legs that are layed down, measure up from the bottom of both of them 54 inches. Put a 39 1/2" 2x6 on the inside of the legs lining up the bottom of the 2x6 with the lines. Make sure everything is lined up and squared and then drill the pilot holes and drill in the 2 1/2 inch screws. We put in 2 screws but you can put in however many you feel comfortable with.
Do this with the opposite side in the same way.
Step 6: Attach the Long Sides
Make sure the boards are lined up like in the picture. Now we can put in the bolts.
If you want you can test the fit of the plywood in the top by just laying on top of the four supports.
Step 7: Insert the Bolts
Step 8: Bottom Supports
Now measure 17 inches up on the long side with the tall legs and put the 74 inch piece in with a few screws.
Step 9: Ladder
Line up the boards and pilot the holes and drill them.
Step 10: Shelf
Step 11: Closing
To finish, all you need to do is put the piece of plywood over the supports and then put the mattress in over that.