We saved the old sash windows from the farmhouse we have renovated, they have been behind the shed for 2 years now. They came out last weekend as hubby made me one cold frame with them, for the main part we used several off cuts of backs (tree trunk off cuts from the timber mill), lined it with black plastic and it is now full of my hostas which have been divided to grow more for next year. I have 2 more waiting to be made, these will be used next year to grow cucumbers and melons.
Ayls Fowler from Gardeners World, just fighting with the cat for the keyboard here, has a new book out called The Thrifty Gardener, she shows you how to make a cold frame, plus in this months edition of Gardeners World mag also shows you.
I would use pallet off cuts to make it, you can pick them up anywhere normally, your local builders merchants may be happy for you to take them of their hands free of charge, or go to your local council tip, in ours we have 2 wood recycle units, if you contact your council they should give you permission for a licence to recylce the wood there, I read in a magazine somewhere where a chap had done this and collected dumped bicycles , he renovated them and sold them one, recycled bicycles.
Hope that helps.
Elaine