Besides brewing my own beer, I also roast my own coffee. I find that it’s rather cheap compared to premium coffee with the added benefits of letting you choose the roast level, try many varieties and have actual fresh coffee. The green coffee beans keep quite well so you only need to roast what your going to drink while it’s fresh.
I buy my beans from Sweet Maria’s which has a nice selection and takes homeroasting seriously. Their site is also a treasure trove of information though it can be difficult to use.
There’s two main, cheap set-ups for homeroasting which include a hot popcorn popper or a rotisserie basket on a gas grill. You can also buy commercial roasting machines but the alternatives are cheap and do a good job. I personally use the popcorn popper and am currently building a rotisserie. I was going to write-up some directions but found a nice YouTube video that goes over the process instead. I do have some pictures up on flickr.