You could buy an inexpensive wine rack at your local discount department store. You could. But...it wouldn't have the unique look of a DIY wine rack, a wine rack that you made yourself. Also, if you're good at sourcing materials, you could make one of these wine racks for free or cheap. Now that would be nice, wouldn't it? You'd could spend the money that you would have spent on the wine rack on actual wine. I think we can all agree that having more money for fine vino is better than not having it.
What can you build a wine rack from? Tubular stuff, like wide cardboard mailing tubes or PVC pipe are really excellent. If you're handy, you can salvage wood, like pallet wood, and use that. Even aluminum cans can be transformed into a wine rack. Other materials I have seen used for wine racks: Metal pipes, boiled wool,and old metal film reels.
One thing to keep in mind: Wine bottles are heavy. If you are affixing a DIY wine rack to the wall, be sure that you consider the total weight of the rack when it is holding its full capacity of full bottles of wine. You will need to mount the wine rack to wall studs, not to drywall. Learn more about mounting heavy objects for walls from a professional remodeler.