There are two different ways you can go, full blown fake rolex which is going to be a chinese (or similar) knockoff with a cheap quartz movement and poor construction, or a replica, which may cost several hundred but may use a high quality automatic movement, high quality materials, but likely won't be branded "Rolex" - will just look identical.
I would never think about buying a fake, they're cheap and would be easy to tell apart, but I've often thought about getting replicas of other high end watches (eg Panerai) which you can usually find in the $200-400 range and are nearly identical other than the branding and the movement.