I wanted to make a wall shelf.
Step 1: Prep Pallet
Find a good, clean pallet to form the back of your shelf. I used a random orbit sander with 60 grit paper. I took some wide planks from another pallet for the shelves. I sanded to remove any superficial blemishes. When I removed the boards for shelves, they broke apart, so I edge glued them back together before sanding.
Step 2: French Cleats
I chose to use French cleats to hang my shelf. They're easy to make, they're strong, and won't tear up your walls. I just cut two 8" planks of 1x4 on 45 degrees with a table saw. Glue them to the back of the pallet and make sure they're at the same height. I sanded the back where I glued them for a good surface.
Step 3: Mount Shelves
I used corner braces from Lowes so I could hide as much as possible. Regular shelf brackets would also work, but will take away the clean, all-wood look.
Step 4: Stain
I went for a darker stain. Use cheesecloth to apply the stain, and don't forget to use pre-stain wood conditioner.