We finished building our own wine cellar in 2007.  It is located in the closet under the stairs and can keep around 1000 bottles at a constant temperature of 54 degrees.  It started of course with the corkscrew since you can't have a collection of corkscrews without drinking wine, unless you're underage.  So with an empty closet and the desire to build a wine cellar, we set to it.  If you would like to build a wine cellar too, first you must do the electrical work, if any.  Next install the cooling unit.  The hardest part about building a wine cellar is insulating it.  It must have a thick layer of insulation all around.  The floor, sides, and ceiling of ours are all fully insulated.  We were able to fully insulate our wine cellar using a mixture of normal insulation and a thin aluminum bubble wrap found at Home Depot.  Next we installed the sheetrock which was twice as thick as normal to keep it insulated.  After mud and sanding, we were ready for paint.  We textured the mud to give it the look of an old cellar and used gold and a dark green paint then rubbed some red into it.  We used slate for the floor and insulated the door as well.  The wine racks were finally ready to be built and installed.  We used wine racks from a company called IWA (International Wine Accessories), which happens to have a warehouse here in Dallas less than ten miles from our house.  We also bought the cooling unit from IWA.  If you are interested in builing your own wine cellar or IWA, their website is iwawine.com.  We assembled the racks fairly easily.  We used mostly the individual bottle holders, one diamond cube, a magnum holder, and a case holder.  There is a bar area, three countertops, and we curved the racking at both ends so it remains one piece.  The final step was installing the lights.  The hard part wasn't filling the cellar with wine, it was paying for it.  Building the cellar was fairly inexpensive.  Now that it is completed, it is decorated with vintage corkscrews including a Syroco waiter that watches over the wine.