(This has been updated a few times, please check out the updates since I learned many things as I went along!)Hey everyone! I don't know if this has been shared yet (I tried searching, but couldn't find it), but this was revolutionary for me, so I thought I'd share!
I stumbled across this website:
http://bethanyactually.com/make-your-own-vanilla-extract/, which shows you how to make vanilla extract! (She used the instructions from here:
http://family.go.com/parent-to-parent/blogs/catherine-newman-blog/vanilla-extract-729914/)
My sister and I do a LOT of baking (we usually make some type of baked goods once a week, at least, and my favorite chocolate chip cookies recipe calls for a whole tablespoon!) and real vanilla extract is so expensive. So, we were very excited to do this. It only took ten minutes, but we were having so much fun.

Here's all our equipment. I bought the bottles from the same place that Bethany did, to which she gave a link. I bought the vanilla pods from the same website that both Bethany and Catherine Newman used and I purchased the cheapest vodka I could find, but in the biggest container.


I sliced them up two ways and my sister dropped them in the bottle and filled it with vodka.

This is them all vodka-ed up and ready to sit for a month.
Anyway, I thought that some people might find a vanilla extract recipe to be useful, or fun to do. We were able to make ten bottles, so I have enough to send to friends and family and keep some for myself for baking! Unless my math skills are THAT bad, it looks like this was MUCH cheaper than buying vanilla extract (and now I can re-use the same bottles so there's less waste and that way it'll be cheaper the second time around!). I think that the 10 bottles we made ended up costing somewhere between $3.50-$4 per bottle, and those are 4-ounce bottles, so they were about $2.50 cheaper than a
1-ounce bottle! (I've never seen a 4-ounce bottle before, so I can't compare price for that.

)
Well, I have a month to wait and see how the vanilla turns out.

(And I'm sorry if I posted this on the wrong board, I've never posted at the cooking section before.)
05/09/09 UPDATE:I realize my update is a month late, but I promise there's a reason!
After a month of intense anticipation, I opened a bottle and took a whiff—unfortunately, it still smelled strongly of alcohol (that is, more alcohol than vanilla). I consulted with my sister and we decided to wait another month. After about half a month, I wanted to make some cookies (school was going on to midterms, so, of course, I needed cookies) and so had to break into the vanilla. It smelled much better. And now, two months are up and it smells very strongly of vanilla.
I opened up a store-bought bottle of vanilla extract to compare and found that the store-bought vanilla had a very sugary smell to it (but also with that tinge of alcohol). I hadn't realized that the vanilla extract I buy has corn syrup in it! I believe the corn syrup is also what makes store-bought vanilla extract thicker than the homemade vanilla extract. The homemade vanilla extract is just as liquid-y as vodka is—of course.
There is an abundance of suspicious looking floaties and fibers and vanilla bean flecks littered through each bottle from the multiple shakings. They're completely harmless, of course, but since we're giving some of ours out as gifts, we're thinking about buying some small tea strainers in case the recipients of our gifts are a little more creeped out by it. I mean, if I was less lazy/didn't like the look of the beans and pods, I'd strain it myself, but I think they look pretty.
Last week, a group on campus that I belong to had a bake sale. I made some Chocolate Crinkle Cookies and added half a teaspoon more of vanilla than the recipe required. One of my group members was chewing thoughtfully on a cookie and he said, "What's this taste? Cinnamon?"
"No."
"Vanilla?"
"Yes!!"
"You can really taste it."
"...is it good?"
"It's great. I love vanilla."
"I made the vanilla myself!"
"I didn't know you could do that!"
So, that made me feel great.
Anyway, I would recommend letting it sit for a minimum of
two months (or at least a month and a half) rather than one month as suggested in the tutorial. Also, I would recommend to shake it quite often. Some bottles are kind of cloudy and I haven't yet been able to figure out why. I read something about polyphenols making liquid cloudy when cold (and, apparently, vanilla beans have polyphenols? My research is kind of unclear), but I haven't figured it out yet. Also, just as with store-bought vanilla extract, don't store it in the fridge.

The vanilla is a dark amber color when photographed without a flash, but a lighter color with a flash. It's a light liquid when poured out.

Comparison between the homemade vanilla and store-bought vanilla. Even though the liquid is very light, it has a strong vanilla smell and the store-bought vanilla has a strong sugary smell. (The store-bought vanilla is also really old and things were beginning to settle...)
I'm not someone that has a super-tasting ability, so I don't know if I should say if I can taste it or not. I think I can, but I might be getting tastes mixed up.

I would recommend doing it, though. By smell alone, it seems to have worked and, of course, it'll get stronger (and probably darker?) the longer you let it sit!
I hope this didn't disappoint anyone!
There are other tutorials for larger bottles if you search online. Here's one I found at
http://tipnut.com/homemade-vanilla-extract/Traditional Vanilla Recipe(Makes 8-ounces) 1/2-pint Vodka
4 Vanilla beans
Seal tight bottle or container
Decorative bottle
• Using a sharp kitchen knife, cut a lengthwise slit down the middle of each vanilla bean.
• Cut vanilla beans into 1/2-3/4 inch pieces.
• Pour vodka into your container.
• Add vanilla beans to container and shake.
• Wait and shake. It will take 30-days for the vanilla extract to mature. Once each day, vigorously shake the container for 30-seconds.
• Once the 30-day cycle has finished, strain the liquid through a colander or coffee filter and place in decorative bottle.
(Sorry for the huge post, I just wanted to give a sufficient update to this experiment!)
Update 2:Oh yes, I forgot: I read that higher quality vodka is better than super-cheap vodka for vanilla extract... like I bought.

However, I did see a suggestion to increase the quality of a poor-quality vodka a bit by pouring the vodka through one of those water filter pitchers a few times (like Brita or Pur). (...I'm not vodka-savvy, sorry...

)
Update 3:Seeing as how this is still being read (you guys are awesome), I felt as if I should do another update.
I can't tell the difference between cheap vodka and expensive vodka when making vanilla. I don't go around drinking vanilla (...or vodka), so I don't know how I'd be able to tell the difference anyway!

But feel free to experiment! For me, making my own vanilla is all about cost, so I'm sticking with the lower-quality vodka.
I've never filtered the vanilla because the vanilla bean pods and flecks don't bother me, and I liked being able to tell those receiving the gifts that they can refill it (and the idea that I could refill it as well!), and so I've refilled a few bottles and realized that the color doesn't get as dark, but it still smells as strongly of vanilla as it had before when it was let sit for the required amount of time.
I think that's it for now. I may do another update.

Thanks to everyone for their comments and helpful suggestions. That's what makes this site awesome.
Update 4:Hello again a few years later! I answered a few questions in comments, but I thought I'd put them here as well!

You don't have to use vodka specifically, but you do have to use a liquid with a high alcohol content like brandy or rum. Vodka is a neutral taste, but brandy or rum (for example) would add interesting tastes themselves.
"Topping off" the vodka in an already prepared batch of vanilla (that is, as long as the vanilla bean pods are still inside!) will not weaken the taste and helps keep it full and tasty. However, of course after numerous refillings the vanilla will begin to weaken and you will have to add more pods to keep the strength. ...and then eventually, when you realize you cannot fit anymore, you may actually have to empty it out.

I hope everyone is baking with great fervor!