You most likely already have everything you need !
Building your own agility obstacles is easy. You most likely have enough stuff around the house and yard to make a start. Jump stands, poles and a few cones will help form the basis of all your obstacles.
Flags and bunting can be bought cheaply from ebay and poundland shops, or if you are creative you could make your own from bin liners, tea towels etc. The design of your obstacles is limited only by your own imagination !.
A word about safe consruction.
It really can't be emphasized enough that the construction of your obstacles needs to be SAFE.
They must be able to withstand being knocked into and trodden on. They must be strong and stable enough to cope with being placed on uneven arena surfaces and if outside to cope with the elements.
Screws are better than nails when putting together anything made with wood.
Thought should be given to providing the obstacle with a non-slip surface if the horse is to stand on it.
Consideration needs to be given to where and how you place your obstacles.
Are the ground conditions suitable ?
Obstacles are best stood on flat, dry ground, whenever possible.
Leave plenty of space around each obstacle, don't place anything to close to wire and electric fences.