Most laser safety goggles are made of some sort of plastic. Usually this is a more robust plastic because the goggles shouldn't melt away, although the cheap china stuff isn't very good at this. The expensive laser safety goggles use glass filters.
Making your own laser safety eyewear is definately not recommended. Your eyes are priceless. Breaking a laser because of an experiment isn't nice, but losing your eyes is far worse. In theory it's possible to make your own, but you won't be sure that they work properly. The whole point of safety is that it can be trusted.
The high price of professional laser safety eyewear is because of the certification, they guarantee the goggles will provide the rated protection in a worst case scenario among a list of other things to make sure the goggles are safe and of good quality.