There are a lot of methods to etch your own circuit boards, and with that comes a lot of different tutorials. I'm not going to try and reinvent the wheel here, and this probably won't be a comprehensive list, but I thought it might be helpful to some to have some examples of DIY etching.
First is the Press 'n Peel method. Steve Daniels of Small Bear Electronics has written a great tutorial on this method, and it's the method I typically use when etching my own boards.
How to Make a PC Board by Direct Etching
Steve also wrote another tutorial for making a PCB using the Positive Photo Method.
How to Make a PC Board by the Positive Photo Process
Lastly (for now anyway), is a tutorial by my friend Cody Deschenes. The method is similar to the first tutorial link, but instead of Press 'n Peel paper (which can get pricey), Cody uses much more affordable photo paper for transferring the toner to the copper clad board.
Photopaper Transfer PCB Etching
And if you don't like reading (which probably means, you haven't made it to the end of this post and won't be reading the following anyway) there are numerous tutorials on YouTube using these and other methods to etch your own boards.
June 18, 2015 Update:
I've watched a ton of YouTube tutorials and here are a couple that I liked a lot. The first is from The Ben Heck Show (you should watch some of his other videos, this guy is awesome). He shows how to etch using a method like Cody's photo paper method, as well as using a laser to create the etchant mask or hand drawing it with a marker.
The second video is from another cool YouTube channel, Make. This tutorial shows how to make a PCB using the positive photo method.
Update March 8, 2017:
Here's a quick little tutorial I did a while ago on Instagram showing how I use yellow heat transfer paper to transfer toner.