In the picture below you can see that they look really good and I can attest that they work a heck of a lot better than my 'paper clip and alligator patch cable' setup I was using before!
Step 1: Tools and Materials
50Ohm, RG58/Ucoax cable with male BNC connectors (length is up to you, I used a 2' one)
Heat shrink tubing
Wire (~24AWG, I used solid core breadboard wire)
Female headers (0.1")
Male headers (0.1")
Step 2: Wires to Cable Connections
First, cut the cable in half. You can make two probes this way, so it's quite nice.
Next you'll have to be careful and strip both the outer insulation and the braided wire shielding off about 1cm from the cut end. Don't cut into the inner insulation! Then cut the inner insulation off about 0.5cm from the cut end. Make it look like the first picture.
Solder a 10cm wire onto the exposed copper wire in the center of the cable. Then put some heat shrink tubing on there to strengthen everything up and insulate the connection. Make it look like the second picture there. Note that it helps later on when you use yellow/red as the signal wire and black/green as the ground wire.
Now you'll have to strip about 0.5cm off of the outer insulation on the cable, being careful not to cut the braided shielding. It's very fragile so be careful. Then you're going to lightly solder another 10cm wire to the braid. I wrapped a piece of solder wick around the wire/braid to make it a bit stronger. It takes more solder but it makes a solid connection. Make it look like the third picture. Then put a nice big piece of heat shrink tubing over this connection. I didn't have a size with a big enough diameter so I had to enlarge a small piece with some pliers (fourth picture).
Next step is the tips!
Step 3: Multi-Purpose Tips
What you will need to do is cut out one female header and shave all the broken plastic down so it's more-or-less square. Then solder that onto the end of the wires connected to the cable and put some heat shrink on the connection. What you are left with should look like the first picture.
I bought some EZ-Hooks from digikey (see second picture) that connect right onto the female header. They are amazing, can hook onto any little tiny wire, and they stay put.
A single 0.1" male header pin will work well as a simple probe tip. It depends on the female header you bought though. The ones I used happened to be alright, but most of them will be really wobbly. You can buy circular style female headers that accept 0.1" male pins, these are the ones that actual probes use and should hold the tips a lot better.
Of course it's also nice to use the female headers because you can connect them directly up to male headers on boards that you are debugging. Very handy feature.
That's it, all done. Enjoy your new non-crappy probes!