If you want to build a mash tun with hardware store parts, you typically won't find stainless steel and your options will usually be limited to "plumbing" parts (copper/brass, garden hose fittings, etc). That doesn't mean you can't do it, but in my experience, it's about the same money (or more if you make some mistakes) and you end up with brass, especially over using sites like bargain fittings. Denny's is the best suggestion for using local hardware stores and the most cost efficient.
I wouldn't recommend a kettle screen, as in my experience, you only save ~$10 and they must be removed and cleaned, otherwise they will clog your system. A round 10g cooler with a round false bottom, connecting hose and fittings seems to be what has worked for me. But, if you want stainless steel, you pretty much have to order everything (cooler from home depot, ship to store ~$50, most don't carry the 10g), fittings from bargain fittings (~$80 with thermometer and two bulkheads plus valve - all stainless) false bottom and hose from midwest or williams or other (~40-50). It's around $170, but it's cheaper than most "complete" tuns and all stainless. EDIT - Just thought I'd point out, Morebeer sells a mash tun for 180, but it is missing the second bulkhead and thermometer. You can't save a ton buying all the parts and building it yourself, but you do save a bit (~50).