You definitely could build something yourself if you wanted to put in the time and effort, I have seen quite a few do it yourself instruction options on the web at instructables and also just on youtube and a few other places. You would definitely need to know a decent amount about electronics as well as writing software though.

As pby5cat mentioned you could also try and pick up an AlienFX light board or case but they definitely are not cheap as you have found out as well as hard to find. The active board needed for software control can be especially hard to find and definitely not cheap.

I did see another option on youtube recently called the Computer Color Cannon which is a RGB LED light that plugs into a USB port and can be controlled similar to AlienFX via software, there are also WinAmp and iTunes plugins for it too apparently. Below is the youtube video I came across of it:

http://www.youtube.com/watch?v=jmUVlY4u-yA