That's just what I spent the better part of this afternoon doing, Franko. Building arrows.
I recently got into building arrows and I find it about as satisfying as tying a really nice looking fly and then going out there and catching a humongous trout with it.
The obvious first benefit is self satisfaction in doing something for yourself that not every person is willing to tackle. Cost savings are secondary as they are not tremendous, nor are they particularly notable - cost savings are actually minimal.
What you get is an arrow built to your own specifications. You choose exactly what components go into the making of your arrow. You can't always get that from buying "over-the-counter" arrows.
For instance, I use GT shafts, GT inserts, Blazer vanes (2" for broadheads and 1.5" for 3D), GT pin nock bushing with GT pin nocks to finish the arrow. My arrows are cut to my personal preference - which can be done for a fee at the pro shop - with my own arrow saw, and then the fun begins. And it
is fun.
As for equipment....start with an arrow cut-off saw (Harbour Freight makes a good, inexpensive one), then get a good fletching jig (blitzenburg is your best bet there). After that you need the obvious - inserts, nocks, your choice of feathers or vanes, and the proper glue. Not to mention a few well chosen tools to clean, square, and prep the shafts.
A wee tad bit of advice here - buy a good fletching jig. You won't regret it. Also be careful what glues you use. Some are better than others and yet some others are just junk.
For anyone interested I have a feather burner that I don't use and wish to see go to a good home.