I made a headboard for my bed about a year ago. It was very easy to do. I used a large piece of wood my dad had in the backyard that he didn't intend to use (you can just go to Home Depot and buy a piece of wood large enough to fit the size of your bed - it should be at least the width of your bed, and at least twice the height, though a little more than that would probably be better, depending on the height of your bed).
I traced a rounded line along the top corners of the piece, and then used a circular saw to cut the board to the right width, and a handheld jigsaw to cut out the corners. You can create any kind of pattern you like, though if you'll be covering it with fabric, keep in mind that the more ornate the pattern, the harder it will be to get the fabric to pull over the edges smoothly. If you don't have the tools to cut the wood yourself, ask someone at your local Home Depot/Lowes/lumber store to cut it for you. If you don't want anything too fancy, they'll usually do it for free.
Next, I put two layers of thick batting I bought at Michaels onto the headboard. I laid it out and then folded it over the edges, and used a staple gun to attach it to the back of the board. This would allow the headboard to have a nice puffy, upholstered look.
Then I went down to Ross and picked up a twin size sheet set (You could also get a full or a queen if your headboard is really large, but I have a Queen size bed, and the Twin sized sheet worked perfect.) I used the fitted sheet and put it over the front of the headboard and the batting, using the staple gun to secure the sheet onto the back of the headboard. as I did this, I tried to be sure that I was pulling the sheet taut so that the fabric wouldn't look saggy or wrinkled. At the rounded edges I had to do some folding of the material on the back of the headboard, but it's not noticeable from the front.
And as an extra embellishment, I bought some plain, round silver upholstery tacks and hammered them into a few spots on the headboard to give it a bit of a tufted look. You can arrange them in any manner you like. You can also use ribbons and upholstery tacks to give it even more definition (stretch the ribbon across the headboard either horizonatally, vertically, or diagonally, staple the ends to the back, and then insert upholstery tacks where the ribbons intersect). You could also put upholstery tacks along the top edge (like studs), or sew buttons randomly onto the sheet. Use your imagination.
I actually purchased two sets of the sheets so that I would have two matching pillowcases to go with all of the other pillows I have on my bed (I removed them for the picture). Then I took the two flat sheets and made curtains for the large window in my bedroom. Then I used the other fitted sheet to make a smaller curtain (this one I had to cut out and sew a little) for the little window in my bedroom. It helped to tie things together.