You can build your own fairly simply, using only a circular saw, drill, clamps, a hammer, a GOOD square (check it for square. Expensive squares are not necessarily actually square) and straight edges.
As was said, good plywood is not cheap. I wouldn't consider using anything other than the highest quality plywood that Home Depot/Lowes sells. That will run you $40-50/sheet and still has occasional voids in the plywood. Plywood at specialty lumber stores is better, but more expensive at around $70-80/sheet. The flip side is, it's not the Ikea crap that will fall apart if you look at it wrong.
While I personally detest them, pocket holes can be useful in this case, provided you aren't severely loading the joints. If you plan on there being a lot of weight, you will need another joint type that cannot be cut with just a circular saw and a drill.
Should you decide to build, you will also probably want some sort of edging for the plywood since ply edging is generally ugly to look at. They make iron on veneers for that.
For cutting plywood, you want a brand new saw blade, with as many teeth as you can get for the size blade you need. This will lead to the least amount of tear out. Avoid the cheap brand blades. I personally like Freud Diablo blades (sold at Home Depot, blades are red).
You are going to want to drill evenly spaced holes for adjustable shelves. Most shelf pins are 5mm in diameter, which requires a 5mm drill bit. Those are not easy to come by in stores. You can either order a 5mm drill bit, or order 1/4" shelf pins. I chose the latter. To space the holes, rather than buying a shelf pin jig, I just used some pegboard that I had as a guide. Pegboard typically has 1/4" holes in it, so it makes a good guide for drilling 1/4" shelf pin holes. Rather than an entire vertical row like the particle board crap has, I did 5 holes vertically for each shelf, placing the middle ones such that there's an even height between all shelves.
Other tools will make your life easier, but are not strictly necessary. Things like a table saw, air compressor and brad nail gun, drill press, etc.
Here's a built-in entryway system I'm currently finishing up for a friend. It's 3/4" ply from Home Depot, and solid Walnut shelving:
This photo is just sort of getting a general feel for everything, hence the doors/shelves not sitting quite right:
And what the shelves look like after finish and cases look like with paint