Ten years ago this summer I was a mostly directionless college student working in a branch of Hancock Fabrics that has long since closed down, and with a lot of time waiting around behind the cash register, I went through all the craft magazines in the racks. One of the cool things I made a note to try someday was pin weaving-- I bought two boxes of pins and a spool of heavy quilting thread, and that was about as far as it got.
Much more recently, I've been obsessively collecting novelty yarn ends, partly because they're terribly cool, and partly because I know I'm not enough of a knitter or crocheter to justify buying whole skeins of things. And when astormorray brought a whole shoebox of fantastic bits and ends to my wedding because she hadn't finished the present yet, it kind of tipped the scales and I decided I had to do something with them. So, here is my test piece:

(front)

(back, lined for stability) Ultimately, I plan to sew this onto a garment I already have, but I haven't quite gotten that far yet...
Step-by-step: (if you actually weave, you probably already know most of this)

Here's my warp-- The loom is three layers of firmly stapled together corrugated cardboard (I suspect foam core would work slightly better, but this was just fine for a small project) with the outline of the shape I wanted staked out with pins at 1/4" intervals and then strung with upholstery thread.

Sorry about the poor color-- I started this at about 10 pm and then just kept going, so the light was awful for photos. Weaving was done with multiple threads at a time using tapestry needles. Pretty self-explanatory, really, although my advice to you is DO NOT try to start a thread in the middle of the warp if you don't know what you're doing, because you will confuse yourself terribly. Coming in from the edge and then doubling back somewhere in the middle is fine, but any place you have one extra thread next to a place you don't is going to mess up your over-under pattern to the warp. (You can work it out by starting another new thread in the same place later on, of course, or by starting two new threads at the same point going in opposite directions.)

And then just continue weaving. Add as many colors as you want, make shapes, etc. If you're making a horizontal line (like the column in the middle of this picture) make sure you loop both colors of weft (side-to-side) threads around the same warp thread on the edge, so you don't leave a hole. Also, try to press everything down fairly firmly without pulling the sides in too tightly.

Close-up. The gold fabric is actually scrap silk from my wedding dress, and (although you can't really tell in this picture) uses another method of solving the problem of starting or ending in the middle of the warp-- the next thread after the silk, instead of being woven up where the silk went down and vice versa, is actually threaded in with the silk (over what it goes over, and under what it goes under) and then continues beyond the end of the silk and doubles back, so there is no point where you've got just a single end in the middle.
Keep weaving as far as you can. The last two rows here were actually done after the pins came out-- just remember to put the tapestry needle through the top of the warp threads in the direction that looks backwards, so the warp continues to twist back and forth. (this makes more sense when you can see it.)

Here's the front, which (because I had ends in the middle...) was the side that faced the cardboard, so I couldn't see it while I was working.

And the back. All in all, this took me about three hours from start to finish.
The finished thing is sturdy enough to pick up and play with a bit, but if you're expecting it to withstand any abuse (think garment or bag rather than wall hanging) it should be lined. The glory of the form, though, is that you can trace out your pattern pieces onto backing, pin them up, and weave exactly what you want for the project. I think the article I originally saw this in suggested using a vest pattern. And of course, you can weave with whatever you want (scrap yarn, cord, fabric strips, etc.)
Have fun!
