there is also the toner transfer method.
it is the method I use, and for those that don't want to mess with a ton of different chemicals it is very good.
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I have made 10-15 boards using this method. If you use the recommended paper (staples picture paper) and allow plenty of time with the iron, the method is very reliable and i have had good luck with trace widths down to 12 mils, traces between IC pads, etc. And just today I made my first dual-sided board with this method and it came out great. This method is also great because you can use the cheapest blank boards. the ones that I use are from electronics goldmine and cost about 3.5 cents per square inch.
you need some blank boards, a laser printer, some staples picture paper, and an iron.
drilling is an entirely different story, but that is the same with any method. I use a 10" drill press (about 100 bucks from home depot) and a bunch of solid carbide drill bits that i got on ebay. I also picked up a 4" table saw on ebay for $40 that has a diamond blade and cuts PCB like butter.
I have also built a simple little etching tank using some acrylic sheet, silicone, and an aquarium bubbler.
All told I probably have about $250 invested in my whole setup but when you consider the prices charged by most PCB houses (like expressPCB - i seem to remember it being about $60 for three 3x5 boards) it has already paid for itself.
also, I find that this method is cost-effective for me because not only do I get to make PCB's with it, I also have a perfectly good laser printer and clothes iron to use for more normal purposes