Building your own is certainly doable; in fact it was the common thing to do before the
GW board came out, and probvaby still is. The core i of the board is easy as hell to do, and pretty cheap/fast. Basically, these are your options:
1) Build a flat board of the relevant size from
MDF/chipboard, probably in sections, and painbt/texture it with the desired look. Use separate actual scenery, which could be
GW, someone else (check out Mantic, Galeforce 9 and CNC for various styles/costs) or homemade.
2) As above, but have terrain built onto the board itself. This can be more expensive and harder to store, but can look great and be a real project. Build it in 2x2' sections and you'll still
BA able to vary your setups, and add new ones further down the line.
3) Buy a printed rubber gaming mat, like those available from Frontline Gaming and other. These have printed designs, which can look really nice, and are easy to store; just roll/fold them up when you're done. You'll need terrain to put on top, but compared to buying a
GW board you'll have loads more to spend on the terrain itself.
4) Build a full table setup (will require some good DIY skills and cost a fair bit!) These take a lot of effort, but at the end you have a custom table for gaming on (no more using the dining table

), and they're often built with space beside/underneath for books/dice/minis. This is a project in its own right, and won't be as easy or cheap as any other options, but if you're into that sort of thing and have the time/money/skills, would be a great thing to have.
There are a few companies making plastic boards like the
GW ones (Secret Weapon Miniatures springs to mind), but they aren't that much cheaper. But to answer your question, yes, building your own board is very doable! Hope that helps!