It's fairly easy to build your own laser if you can get your hands on the parts you need. Be extremely careful when using a laser, though, as powerful lasers can cause injury and may be in violation of legal limits.
How powerful is too powerful?
The legal limit for home laser use is 5mW. If you build your own laser using parts from discarded electronics, you could easily exceed the legal limit and be in violation of the law. More powerful lasers also involve extremely concentrated light, which can injure living creatures or damage property. Be careful with any home laser you build, and keep in mind that you may be violating the law if your laser is over 5mW.
Decide what type of laser you want.
There are many different types of lasers, and the instructions for building a laser depend on what kind of laser you want to make. You can build a small cutting laser, for example, with the guts from a few scanners and a laser assembly. You can also build your own laser flashlight, or an infrared laser pointer. Green laser pointers are getting popular, but the technology involved in green lasers is more complicated than red or infrared lasers, and therefore they are not suitable for home building. If you want green laser pointers, you'll need to buy them.
Assemble casing for your laser.
Depending on what type of laser you want to build, you'll need to come up with the casing for your laser. Keep in mind that concentrated laser light can burn flammable materials, so avoid using anything flammable for your laser casing. You'll need room for the laser assembly and power source.
Find a laser diode for your needs.
While it's theoretically possible to make a laser diode at home, there's little point in going through the time and the effort when laser diodes are readily available in the form of consumer electronics. You can remove the laser diode from a DVD burner or other electronic device with a suitable diode. Use old consumer electronics or computer peripherals that you no longer need, as they'll be inoperable once you remove the laser.
Get a laser diode housing.
Once you've got the appropriate laser diode, you need a place to put it. This is different from your laser casing. The housing holds the laser diode in place, and typically protects the connection with the power source. You can get laser diode housings online; they typically come with weak laser diodes, which you may want to replace with the laser diodes you extract from consumer electronics.
Assemble your power source.
Power sources are where things get tricky with lasers. Too much power can burn out a laser diode. Connecting the power source incorrectly can do the same. Never exceed the diode's power rating, or you'll find yourself needing to replace it. For small lasers, simple AAA batteries in a battery casing are sufficient. For larger lasers, you'll need larger power sources, but keep in mind not to fry your diode.