I'm in the process of building my first one right now. Started off with the idea of doing a forced air vertical forge, but it's changed quite a bit since then for various reasons...
Got an old gas cylinder from the junkyard about 10" (exterior) diameter for a horizontal venturi forge. Bought all the black pipe fittings for a 2 burner setup and am using MIG tips to get the propane in (it's a medley of other burner ideas I've seen). There's a pottery supply place around here that sells ceramic blanket and refractory cement, bricks, etc.
I'm definitely on a budget at the moment and it's taking me longer than I'd like, but will hopefully have a decent forge when it all comes together. Good luck to you-look around at a lot of the forges and you'll get some good ideas of how you can do it. Lin and the other guys on here are a huge help, too.
Jeremy