Loads of people on the site have posted about making their own panniers. If you do a search you'll see some seriously impressive metalworking skills.
My diy efforts are not so impressive but I made them seven or eight years ago and they've done two trans sahara trips as well as loads of general usage within Europe. They're made from 2 plastic jerrycans held in a custom made steel frame.
I originally looked at using two metal jerrycans and just welding the rack mounts to them but the prototype was way too heavy for the Honda XR600 I wanted to use them on. The red jerrycans have been added recently by just welding a small platform (bent 6" nail) on the back of the frame
Pic was taken last Nov in the Alps