Here is a real nice and simple DIY piece of equipment, the homemade version of the industry-standard Steadicam. How it works: you attach your camera to the top (monopod), then move around however you wish, and the dispersed weight dampens out your vibrations, allowing you to get a very steady shot, even while running.
I built it for about $45 (2003 dollars). It is originally based on a design by Chung Lee. My design has several advanced benefits, the most important being that you can build it without drilling. Please see my detailed instructions in PDF format (readable using the freely available Adobe Acrobat Reader).
The trick to avoiding drilling is to use the right type of pipe flare adapter, also known as a "brass bushing", available in the metal plumbing area of a hardware store. (Otherwise, you'd have to drill through tough steal, which usually requires a drill press and a vice). Here's a close-up of my "brass bushing" attachment:
I am frequently asked why I put a weight on the lateral "side bar" when the Chung Lee design doesn't have this weight. Simply, it adds a bit of stability, though of course it is also heavier. And while I can do have the mathematical background to prove it would increase stability, I don't want to go though the numbers, and I'm sure you don't want to read them. Bottom line: yes, it does add stability, but it is not necessary (you may find its benefits to be negligible), and my design is heavier. But the best reason to add the side bar: it makes for a good handlebar!
Another feature I employ is the use of a real tripod head. You can get a nice quick release one and pay more ($50+) if you like, but I went with the cheaper ($20) Manfrotto 3232 Monopod Tilt Head:
So my very reliable and simple-to-build Steady Cam looks like this ($45 total cost):