I started making my own (wood)arrows in the last year.
As stated above, the most expensive part seems to be the fletching jig.
I bought the Bitz. I like it, it gets great reviews. $70. (will outlast the original owner, in this case, it's ME)
Next in line, is the tru-taper. Feedback seems to be "love it or hate it". I love mine. $30.
I buy shafts (cedar) from 3Rivers, for about $28.
per dozen.
Get the feathers in the colors you like. I like them to be screaming bright.
Field tips or blunts for stumps, you decide.
Honestly, it's that first $100 that kills you, but you will not need to spend it again.
I LOVE shooting arrows I made myself. I'll get fancy with cresting later on, but for what I listed above, I'm in business.
Go for it! (by the way, it's EASY!)