I've both built and bought (second-hand, of course) bunk beds. They're not that hard to make, if you have a good design and set of plans. The worst part, from my point of view, is the finishing. I hate staining/varnishing/painting. I heartily endorse anything from woodgears.ca. Matthias Wandel (the proprietor) is an absolute wizard.
As for insulating and sheetrock....insulation is super easy. You'll want to include a vapor barrier somewhere. The location of the vapor barrier depends on your climate. If you use mostly A/C, put the vapor barrier to the outside. Mostly heat, put it on the inside. The cheapest/easiest way is to use kraft-faced batts. Most efficient (and expensive) is spray foam. A combination of styrofoam sheets and batt insulation (like I used in my basement) is somewhere in between.
Drywall is easy enough to hang. For me, though, taping/mudding/sanding is a job best left to the pros. It's not that you can't do it yourself. But the pros will do it in a small fraction of the time, and will probably leave you with a much better result.