Lots of good advise here and +REP to DTR for jumping in with an easy to understand explanation. Would REP a couple others but can't yet.
If you are into electronics my bet is you would really enjoy building your own. There's so many VERY easy options from just having to solder a couple wires together to customizing your own choice of host you would like to put a laser module in. Personally I am into building more than actually enjoying the end product. It's the accomplishment of making it all come together and finding ways to overcome issues such as how to fit the pieces parts in something others haven't done yet. Testing diodes and drivers and setting them in place with the output you decide you want and finding ways to make the project come together is pretty satisfying although personally I need to keep building more to stay interested.
I've started a thread to attempt to put more information together in a simpler way than what is spread out all over the place and although there isn't a lot of information yet here's the link:
http://laserpointerforums.com/f51/kiss-guide-building-laser-96330.html
I've been busy building units but I should be adding more information soon. There's just so much I want to do with it it's basically overwhelming.
So, the question is what equipment do you already own? To really get into building more than just soldering a couple wires together you need a multimeter (which you would of course own already), variable DC power supply (I would recommend a 5A or more one and honestly it doesn't have to be expensive), soldering station, diode press and extraction set, battery charger for at least 3.7V (which will charge them to 4.2V), helping hands (one of those things with clips on it to hold parts while you solder although I seem to like to hold the parts and see if I can burn my fingers instead of using it) and of course all the incidentals such as soldering paste, wire, shrink tubing, batteries etc...
Oh yeah, if there's one tool I use all the time to custom build it's a dremel. I don't have any machine tools and so I fake it with my dremel. Did I mention I love my dremel?
Have fun and be safe. Look at the builds here to see what others have done. Didn't intend all that to scare you away