I posted this in the low end theory forum before I realized this one existed. Sorry for the double post. This seems where it belongs:
My friend, Josh, and I designed and built these super-cheap, relatively easy to build gobos.
Tools needed:
Tape measure
Square
Power drill with screwdriver tip
Either a table saw or circular saw (I guess a hand saw would work, too)
Sander with coarse sandpaper (for getting lengths close enough; 60 grit is good)
Staple gun (light duty works better, surprisingly)
Shopping list (per gobo):
2x 10" (or 12") by 48" pine board
2x 10" (or 12") by 24" pine board
~10' of 1"x3" (or rip your own from wider boards)
one 2'x4' piece of 3/4" plywood
wood glue
screws
~5-6 strips of Roxul Safe'n'Sound (it comes in packs of about 16, I think, so you can plan on making at least a couple gobos)
~2 yards of breathable fabric (has to be very sound transparent)
We built 5 of these (3 12" ones and 2 10" ones) for about $300 (and there's nearly a full pack of Roxul Safe'n'Sound left over).
According to some charts that are popular here, you need ~7" of Safe'n'Sound for maximum broadband absorption. It comes in sheets 3" thick so we went with 3 sheets thick.
Here's the process:
Cut the 1"x3" into sections equal to the length of your plywood back (it probably isn't exactly 4' long, so try to match it). Also, if you are building multiple ones, you can save time/effort by matching the sides to backs (for length).
Also cut several shorter (about 1' sections) of the 1"x3" (these don't have to be precise)
Glue and screw the longer 1"x3" sections to the plywood back:

These are on top of the plywood, lined up perfectly with the edge.
Glue and screw the shorter 1"x3" sections to the top and bottom of the plywood back:

These are on top of the plywood, lined up with what will be the top and bottom edge of the gobo.
It should look like this at this point:
Next, stand it up and glue the sides:
Attach the 10" (or 12") by 48" board to the glued side. Screw into the long 1"x3" you glued and screwed on earlier:
It will look like this:
Rinse and repeat for the other side:

Now you're ready for the top (or bottom, it doesn't really make a difference).
Glue and screw the top on. Flip it and do the other end the same way:
Ready for some Roxul Safe'n'Sound
The batts don't fit perfectly. The length is perfect, but you can only lay 3 in there before you have to start cutting.
Measure the gap and cut the extra pieces to fit. We found that a cheap meat cleaver works well for cutting. This stuff is mineral wool, so it could ruin a knife. Don't use a good one.
Stuffed with Roxul Safe'n'Sound:

(NOTE: This is with 10" side panels. The Safe'n'Sound batts fluff a little when you handle them and the 10" deep gobo gets to be pretty full with 3-deep batts. The 12" deep gobos have extra space in them, and are more stable when standing.)
We just stapled on some cheap, gauzy fabric. We folded over the edge to give it a relatively "finished" look, though it still looks stapled.

Thinner, shorter staples work better in this pine board. Heavier staples in a heavy duty staple gun actually had much less penetration. Kind of counter-intuitive, but something we discovered in the process.
It really helps to have two people in the fabric stretching/stapling process. One person can be leading and stretching while the other fine tunes the edge/tension and staples.
Aaaand... I forgot to take a finished product pic. I'll get one up later.
These things are broadband absorbing in the entire range of human hearing. They're good at shaping sound/creating dead/non-reflective spaces. Good for controlling your studio environment. Even with just 5 of them the room gets eerily dead sounding. They are stackable so you can make an ad-hoc vocal booth if you want. If you want a more live sound you can turn it around and use the plywood back as a reflective surface.
Not pretty, but not bad for about $70/each.
Here's a gallery with a few extra images:
Cheap D.I.Y. Gobos - Imgur