I'm making one out of a utility bed off a S-10 pickup. I got a wrecked S-10 for free and cut the frame off at the cab, and welded a tongue out of square stock with a hitch from the local trailer shop. It would have been done already but I'm adding a lot of doo dads to it. I want it to be a mobile camp site when done. My uncle did something like me. He got a mini-truck with a camper top for cheap, cut the frame into a tongue and used the bed and camper top for the trailer. He then built some inside storage out of lumber and he can use the pick up bed to sleep in when he's got the camp set up. He has TJ and it tows nice behind it. Just another avenue.
As for the DMV, I was told you need to keep some receipts to basically prove you built it and didn't steal it as well as a way to evaluate a value for it, and they inspect and create a vin and title for it.
As for having one made, you're still looking at a pretty high price. Steel cost is still high, plus figure welding/fab cost and an axle set up. Wheels, tires, lighting, sheet metal (decent guage aluminum sheeting is crazy high) for the sides, etc. You might get one in under half the cost, but I'd expect only if you built it 100% yourself. And that's if you have everything you need to do it with from the start like a welder, saw, grinder, etc.
I'm not sure which ones you have looked at, but these guys seem to be the cheapest:
http://beartrailersports.com/trailgater.html Saw them at SEMA awhile back and the trailer looked pretty stout. I'm actually looking at getting one of their roll off car trailers which are priced well against other manufacturers.