My method, as requested on the Cookware board. Others please chime in, as I've only done this once.
It's been awhile, and you'll want to look around on line, but here's what I did:
Get a quart of the best milk you can find (pasteurized, non-homogenized if possible. You want it to have been processed as little as possible). Set aside two tablespoons of your favorite yogurt (I used Fage, but that was before I had easy access to Trader Joe's Greek Yogurt).
Head milk over medium or low heat unti it reaches 180 degrees. Gently warm at 180 for a minute. The more slowly you heat it the better. Let the milk sit at room temperature until it's back down at 115 degrees. I hear you can put it in an ice bath too, but I haven't tried that.
Stir a few tablespoons of the milk into the yogurt to thin it out, then put the yogurt back into the milk and stir well. Put into glass jars (or one big jar) with a wide lid. Cover with a cheesecloth and let sit at room temperature in a dark cabinet overnight or up to a day. I think the amount of time depends on the climate you're in. I remember leaving it for 24 hours in San Francisco, but would check on it more somewhere hotter (like here in LA, for instance). Some recipes say to let it sit as little as 4 hours. I would just check to see how thick it's gotten.
Remember to test the yogurt with clean, dry utensils. If it's too thin for you (as mine was), you can wrap it in a cheesecloth and suspend it over a bowl in the fridge overnight to drain off some whey. My homemade yogurt was always much thinner than even the thinnest (Yoplait) yogurts. I don't know if a machine would make a thicker yogurt, or how much less work using a machine entails. As it is, I would definitely suggest that a person make yogurt the old fashioned way and see if he/she likes the taste and texture before investing in a machine.
After the first batch, you can use a few tablespoons of the homemade to start a new batch. You basically just have to keep buying quarts of milk.
Ultimately, the cost/flavor/texture of making my own didn't justify the time, but it was a fun project and the end product was tasty.