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Start reading..
http://laserpointerforums.com/
HyperPhysics
That should get you started.
Like anything you will need to learn. Start with SAFETY, light/optics/circuits (physics theory), and then get a small 5-50 mw diode. Build a small laser to learn the techniques, and then go and spend 200$ on a nice build.. You don't want to be an idiot who buys some big 2 W IR laser, and looks into the thing when it's on because you can't see the beam.
You can check out Welcome to O-like,the source of good quality laser products at unbeatable price and perfect service !, as well as stores in my signature:
Radiant Electronics - Home and Cajunlasers Store
You should find everything you need there.
I want to assembly my own laser together. What will I need? All I know is a host, heatsink and a diode. What else would I need?
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Edit I just figured out I need to solder and I never done any soldering. Can you guys recommend some pre-built lasers from anyone selling one here/sites?