It was very early into my time as a fly fisherman that I realized that buying machine-made, extruded leaders (typically labeled as "knotless tapered") leaders was a big fat waste of money. Especially as a beginner, given the increased frequency of lost flies, wind knots and the all-too-frequent rat's nests, leaders get chewed up quickly. At anywhere form around $10 to $20 per two-pack of leaders, this starts to add up fast. And, while I've known fishermen who can make a two pack of leaders last an astonishingly long time, that's because those individuals are perfectly adept at rebuilding leaders their leaders with tippet material, thus making their purchase of pre-made leaders relatively pointless.
Despite the nagging suspicion that I was throwing a lot of money down the drain, I wasn't certain of an alternative. Instead of seeking one out, I lazily continued to drop what likely amounted to $100 per year on leaders. A couple of years later, I was turned onto furled leaders. If you're not familiar with furled leaders, take the time to check them out. They offer an excellent alternative to pricey, relatively disposable extruded leaders and they last forever. Though I found several seasons of respite from the extruded leader money pit in furled leaders, I ultimately decided that they weren't for me. Most furled leaders I tried at the time provided a excellent durability and a still unmatched level of streamside convenience, but lacked the sort of stiffness in the butt section that I prefer. To be fair, it's been several years since I've used one and I certainly never tried them all, so things certainly may have changed. Regardless of this one minor perceived shortcoming, furled leaders still stand out as a preposterously more sane alternative to knotless tapered leaders.
The alternative, which I've settled on since reading some of Gary Borger's writings, is building leaders by hand. The process is suprisingly simple. I'm not a particularly dexterous knot tier, and even I can whip up a hand-tied leader in a couple of minutes. Simplicity aside, the most compelling reason to switch is the savings. To build a typical uni-knot leader, you're likely looking at adding two spools of leader material to your gear bag, at a combined price of about $9 (the rest is built from 1x-6x tippet, which you're likely already carrying). For that $9, back-of-the-envelope calculations reveal you can build around 20 uni-body leaders (it's really more than that, but you can figure out why on your own). You do the math.
I won't attempt to explain the particulars building one of these leaders, but will instead defer to a far more qualified source. In fact, in checking references while throwing together this brief article, I noticed that the original source of my switch to hand-tied leaders -- Gary Borger -- has just recently authored a new post on his blog on this very topic. Be sure to check it out. Use the tag links or otherwise search Gary's site and you can find lots of other good information on leader design.