This is a relatively simply and quick project, and all of the materials can be found at your local Lowes/Home Depot/etc. The wood will cost around $25, plus stain, finish, screws, etc.
The dimensions are for a queen-sized bed, but it could easily be scaled down/up for different sized beds.
What You Need:
1 piece, .25" x 4' x 8' hardwood plywood (I used birch)
2 pieces, 1" x 2" x 6' wood (I used pine)
(Optional) Wood stain
Clear finish (I used amber semi-gloss shellac)
#8 2" wood screws
Clamps and heavy things
(Optional) some sort of material or padding to protect your wall; I used the rubbery cabinet liner stuff (it's cheap & easy to cut & glue)
Step 1: Choppin' Wood
Cut three 10" x 8' strips from the plywood
Cut each strip into 2 pieces, one 63", one 33"
Trim 2" from one of the 63" strips; save the cutoff for later
From the leftover plywood, cut a piece 10 x 35"
From that piece, trim a 2 x 10" piece
Then cut the resulting larger piece into two 5 x 33" pieces
Resulting Plywood Pieces:
2 - 10 x 63"
1 - 8 x 63"
1 - 2 x 63"
2 - 5 x 33"
3 - 10 x 33"
1 - 2 x 10"
Cut the 2 x 63" & 2 x 10" strips into 5"-ish pieces (you'll need 10 of them)
Chop the 1" x 2" x 6" wood into:
2 - 2 x 53"
2 - 2 x 23"
Step 2: Furniture Weaving, Part 1
Use chalk or pencil to mark the edges of the cross-strips, the remove the short strips. Apply glue, the re-place the pieces. Do the end pieces first, making sure that the edges are flush; then re-place the center piece.
At each intersection, place something heavy to push the strips together. Use enough weight to ensure that you get a solid connection.
(If you have sawhorses, or enough milk crates, etc., you should use those & clamp the intersections instead. You'll get better joins that way.)
Let that dry for a couple hours before proceeding.
Step 3: Furniture Weaving, Part 2
Let the glue dry for at least an hour before moving on.
Step 4: Furniture Weaving, Part 3
Take the remaining long strip and weave it through the cross pieces, over and under. You want it on top of the cross piece at each end. (Look at the pic, it's easier to understand than a written description.)
Apply glue to the intersection at each end, then clamp. Let this dry for at least a couple hours (but go ahead and start the next step whenever, as you'll be leaving this assembled piece for now).
Step 5: Framing
Once the headboard proper's glue has dried, flip it over. Place the frame on it and get it centered, then trace its outline onto the plywood.
Glue the 5"-ish pieces to the back of the plywood to make a level surface to attach the frame. You'll need to stack 2 on the ends. Let that dry for at least an hour.
Apply glue to the top of each 5"-ish piece, as well as the backs of the strips at the same level, then re-place and clamp the frame. Let that dry for a few hours.
Drill pilot holes into the frame, then use screws to further secure the 2 components together. (This might be overkill, but this is what's going to hold the whole thing up, so you want to make sure it stays together.)
Once that's done, we move on to finishing!
Step 6: Staining
Sand the entire piece with 120, then 220 grit sandpaper. Be careful not to sand through the top layer of the plywood, or to crack the edges.
I stained using a gray "sunbleached" shade, then sanded that back a good deal with the 220, just to make the grain pop.
Step 7: Clear Coat
Apply a coat, sand it smooth, apply a coat, repeat as needed. Check your can of finish for instructions, I'm not a varnish prophet. :)
Step 8: Wrap Up
Install a picture-hanging wire on the frame; put the eye-hooks into the inside of the frame, not the outer edge.
And that's that.
To hang it, insert a screw or picture-hanging hook in your wall (make sure to anchor it if you don't have a convenient stud), and hang 'er up.