This is the one thing I have seen more people want to do than anything else. The one thing that stops most people is the price of one of those flashy cool boxes that you disapear from or cut a girl in half. I have learned over the years that there are a ton of stage illusions you can make for alomist nothing.
Andrew Mayne has a whole series of close up and stage illusions that you can build at home. It was entioned earlier but so does Marc Wilson Encyclopedia of magic. I would say if you are starting out in the wolrd of magic that is a first buy. The book was and is still to this day a great buy! I spent 10 ears trying to figure out Steve Fearsons effect which David Copperfield performed which was a spliting your oen body in half. I made one out of cardboard. Yup Cardboard. I was with some freinds in a magic shop in queens New York and we watched the performance I would say 20 - 30 times. I am not sure how to explain it. I just figured it out after ten years. I ran to my apartment at the time and within an hour I had built the illusion and went down to Magic store and performed it for everyone. It was a great moment of exhiliration. I spoke to Steve after the fact only to congratulate him and to secure his top spot as one of the greatest builders ever. He has so many other concepts that he has made that kept so many magicians in the dark for years. The point here is this. You do not need a ton of money to make a stage illusion. You only need your imagination and some knowledge. The imagination you already have. The knowledge is waiting at the library for you to find it. It is also on the net. But if you are looking for stage illusion builds you will have a much harder time finding them! Good luck on your build! and Build something great! ANd Build something that keeps us wondering for years!
p.s. If you are at a loss and you are saying "well thats great now I knw I can build something but I have no idea what to build. There are some good books out there on how to come up with magic concepts! How to think like a magician. Look up some books on optical illusions, as well check out books on the art of deception when it comes to stage illusions!