I think it's safe to say I go through a LOT of vanilla extract with all the baking I do. About a year ago I decided to look into making my own extract. After perusing a few sites, I found that it was actually ridiculously easy to do, and could be mildly cost effective, too; just takes time.
Someone actually went through the bother of calculating the cost difference, but basically I was spending $5 for each bottle of Bourbon Extract at Trader Joe's which only took me 1-2 months to polish off. Making it yourself doesn't save you a ton of money in the long run, but at least I have 1 liter batches to work with at any given time.* And you can say you make your own extract. I think it's worth the 6 months wait time just to say that.
So, basically, get a bottle of vodka (I've tried 3 different brands so far, not sure if the price/quality of the vodka has a huge effect on the flavor, but I try not to get the cheapest stuff, just in case) and remove about 1/4 of liquid from the bottle first. What you do with that, I won't question. Next, take about 10-12 vanilla beans, split lengthwise, and plop them into the vodka jar. Seal the jar, then give it a good shake, label the bottle with the date, and let it set somewhere safe for about 6 months. Be sure to give it a good shake every couple of weeks. Sediment will collect at the bottom, which you can strain out when you get to it, or just leave it.
The other fun part about making your own extract is that you can play with the different varieties of vanilla. I've bought and blended Tajitian, Madagascar, Bourbon, & Mexican varieties so far. I am fairly clueless about what makes them different though. I've been baking with a blend of Tajitian, Mexican and Madagacar beans and think it tastes as lovely as anything, but would fail a deciphering taste-test for sure. Might be worthwhile to make separate batches of each some time just to taste test.
The other beauty of this plan is that you can make however much you want. A recipe from Simply Recipes gives you a 1 cup option. As much as it is technically science, I don't think you could really screw it up however you decided to mix it up. Just don't add simple syrup. You just don't need it, and I think it detracts from the extract if you do add it.
Also, I bought the beans at beanilla.com