In the General section there is a sticky discussion on brushless motors. You should read it. Basically, it is all about power verses weight. I once went into an aircraft museam and they spent a lot of floor space showing the evolution of engines. It was facinating.
Same is true in this hobby. I can get a 2 oz brushless motor and a 3 oz lipo battery and generate 20 oz's of thrust. Well that is just about straight up like a rocket.

As for building one yourself. If you have the skills and equipment to build a brushed motor you could build a brushless, but of course you would need a source for really strong curved permanent magnets. There are very cheap brushless motors that come out of CD rom drives that can fly very light planes (like 6 oz planes). What makes a motor cheap is the volume of mass production that can be achieved. Brushless will keep getting cheaper, because more and more people are buying them.

My advice is don't mess with rolling your own. You are going to spend $50 for a brushless motor and $60 for the speed control. That contrast with $15 for a brushed motor and $30 for the speed control. Well the difference is about 1 video game, but a lot more fun.

Larry