Built-in shelving comes in many flavors: traditional, modern, DIY, modular... Here is a great tutorial that shows us how to take hardware store items and turn them into an industrial and minimalist shelving unit.
iVillage put together a tutorial to help you create custom shelving for very little money:
The uprights, called nipples, come in a range of lengths. We used the 12-inch version from top to bottom, but you can vary the lengths according to your needs (such as to work around baseboard heating). Assemble the whole thing on the floor, as if the shelves are lying on their backs, then enlist a strong friend to help you lift the assembled project into place. Because they are quite heavy, the shelves must be fastened to studs in the wall with the appropriate hardware; in our case, this meant using lead anchors because the wall is made of concrete.