I also make my own wine and it's a very frugal and legal alternative to buying at the store! There are kits like Stacycue mentions, which can be a little pricey. But you don't even need a kit! We did a hard apple cider last fall that turned out wonderful, just using cider-mill cider. And for summer, I make a lemon wine. Seriously, all it is, is sugar, ReaLemon (or the store brand equivalent), and water. You need yeast, and you need a little time for the fermentation - but this lemon wine doesn't even have to age once it's fermented!
The equipment can be a little pricey at first but if you know someone who does it, borrow what you need and see if you enjoy it. You can find it inexpensively on Craigslist too. If you're making the lemon stuff, all you really need is a bucket to ferment it in. We didn't even have a chance to bottle most of it last summer - put it in a pitcher right out of the bucket, and put the pitcher in the fridge.
Not only do you have your own hooch, but it makes great inexpensive gifts, if your friends are into that kind of thing...