Build My Own Room Treatments

Hey Gang
I've read much from many of you about treating a room so that you get the most out of your sound system.  I've seen what various audio shops put on their walls etc.  I get the general impression that it's primary purpose is to eliminate the echo effect so that sound waves are less distorted.  It seems to me that someone could build their own wall treatments (and aestetically - no parchute hanging frm my ceiling) instead of paying someone else to do it.  What are the best components for wall treatment?  All bright ideas are welcome.