I partially disagree with jelag. Yes it's true if you buy the steel and then complete components such as complete axles, you won't be able to beat the cost of some assembled trailers. If you fabricate everything, including items such as the axles, they are much cheaper than premade units and you save money. You have to really look around and decide if its worth the time and effort involved in making your own trailer that will be exactly what you want. Or would you be better off modifying an existing one to suite your needs, it may be less time and effort.
I was going to build a utility trailer. I took a ROP welding class at one of the local high schools so I could have access to the machine shop. After coming up with a basic design and cost, one of my buddies moved across country and couldn't take his utiltiy trailer with him so I bought it for a song. It's not exactly what I had in mind and it will take a slight bit of modification to make it work.