In the early days of D&D, I guess there was more of a DIY spirit out there than there is today.
I'm guilty of buying the cheap, easy stuff myself. I own TONS of plastic pre-painted minis. Some are of the new D&D variety and others are MageKnight figs. Most of them are pretty cool and they are A LOT faster than painting them yourself.
In the past, I've been known to make my own miniatures out of Sculpey and then set them upon heroes (a certain eye tyrant comes to mind), but I've never seen anyone else do it.
I was reading through an old pdf of White Dwarf (Issue #8 Sept 1978) and I found this cool article on how to make minis using wire, damp tissue and filler. The monster stats are in an old issue of the Dungeoneer. Maybe I'll try to make one sometime.