One of my favorite blogs, Lifehacker.com put me onto this neat website where you can make your own font. It's really quite simple. All you need is an internet connection (obviously), a printer and scanner, paper and a black pen. It only takes about 30 mins to make your own font, using your own handwriting.
Simply navigate your way to Yourfonts.com and download the .pdf used to create your font. All you have to do is write each letter of the alphabet in each of the boxes, taking care to place your letters within the guides on each of the boxes. You don't have to fill out both pages; the first page is good enough for most uses. After you have filled out the page(s), you scan it upload it to yourfonts.com and in a few minutes, you'll have your own font to download and stick on your computer. The instructions on the website are all pretty good. But, if you have questions, I can help you out.
Have fun making a personalized font!
Update October 20, 2009:
Yourfonts.com is no longer free. To find other free alternatives, read this post: Make Your Own Free Font Revisited.