I built my own for the very same reason. I wanted it to look good and be very sturdy and be expandable (just in case I bought more albums--which I did but I store the overflow in another room). I used 3/4" stock aluminum bolted together and then used poplar as the shelving. If I were doing it again I would use a more exotic shelving like natural mahogany or cherry. As long as it's a good hardwood it should hold up fine. If you go to my website I added some pictures so you can see how it is constructed. This one holds about 1000 albums, but it's completely modular and can be expanded just by adding more units (the picture should help make that understandable).
http://home.mindspring.com/~rrbird/_wsn/page2.html
http://home.mindspring.com/~rrbird/_wsn/page2.html