I've done them at home - they're not hard to make, but if you're doing more than a couple I'd get them professionally made. You can do double-sided boards at home (if you're really careful).
I haven't tried the photo etch stuff - I knew somebody in school who tried that & had all kinds of problems with it. I use the laser printer/ink jet paper method (you can also buy that special blue film, but it's expensive and ink jet paper works just as well if not better).