I just helped my sister shop for hair pieces and we were amazed at the expense, even on Etsy, so I tried my hand at making one and it turned out really well. The cost was $15 and it took me only about 15 minutes. I did a write-up (with photos) on my blog and thought I'd share it in case someone else wants to give it a shot!
http://www.cardiganjunkie.com/2011/02/my-unknown-talent-diy-bridal-headpiece.html