I've made lots of interconnects over the years. It can be fun and sound great, too. Below is a prior description I had put together for a friend of some of the sources and recipies that I've used before. In terms of parts, while you can get them from either of these (or many others), Parts Express is also a great, and often cheaper, source if you know what you're looking for. You can also get wire from any of many sources (Mogami is nice, Blue Jeans and Signal also sell wire, and many of the "Big Names" will also sell you parts to cheff up on your own. More flavors and options than you could possibly want.)
This is a great, one-stop resource for DIY wires. http://www.homegrownaudio.com/. They hit the scene about 10 years ago and were offering bargain basement pricing for really great wires, along with kits to make them at even lower cost. Since then, theyve gotten a lot more expensive. They have DIY kits for their production wires, as well as various iterations of parts that you can buy to mix and match your own. All their designs center around braided silver or copper wires. I have two sets that I bought assembled and probably 4-5 sets that I got as raw parts and made myself. You can see their kits, which is likely not what you want, or just parts such as bulk wire in various flavors (silver http://www.homegrownaudio.com/bulk-silver-audio-wire/) (copper http://www.homegrownaudio.com/solid-core-ofhc-copper-wire/), each in various iterations (bare, Teflon coated, cotton coated, etc.). RCA terminators (http://www.homegrownaudio.com/rca-interconnect-connectors/). And various other useful bits, such as heat-activated shrink wrap and nylon tubes to encase wires if you want to go that way. (http://www.homegrownaudio.com/categories/DIY-Extras/).
If you really want to go deeper into the world of DIY wires, like this guy as a resource (http://www.venhaus1.com/diysilverinterconnects.html). I made a couple sets of these a long time ago, and it was fun. Looks like the recipe has been updated, and that he has started selling both finished cables and DIY supplies. http://www.vhaudio.com/products.html. Looks like hes really focused on the high end of the spectrum. This is really nice stuff, probably very deliberately the best available in terms of raw materials, but a resource. When I made the set, he didnt have a website, just found the recipe floating about from general buzz, and sourced the parts all over from manufacturers. Here, he at least offers the potential for one-stop shopping. As youll notice, the RCA terminators are usually the most expensive bit when it comes to parts. The ones on this site are top-shelf, and can be several hundred $$ for the requisite set of 8.