I recently finished building a bouldering gym in the attic of my garage. It took about 2 months, and a lot of planning and design. It turned out pretty sweet. I used 3/4" OSB and 2x6's and 2x4's to build the framing and blocking. I was able to get grips for really cheap at Adventure Rock Climbing Gym. If your looking to build your own I would highly recommend getting used grips from local rock climbing gyms.

Here are a few pictures of the building process: 

This was the space I had to work with. Not huge, but big enough
to set some challenging problems.

This is the framing I build to give me a little more to climb on.

Started fitting plywood. I also build a few volumes to
add a few more dimensions to my wall.

And done! I put a mattress down for padding.