Some things aren't really worth the time and energy to make at home when you can just buy them, but vanilla extract isn't one of them. Making it is easy, and you'll get a superior product at home for less money than you'd spend on the same quantities in the supermarket. Here's how it's done.
All you really need are vanilla beans (available in the spice or bulk section of your grocery store) and a cup of vodka, rum or bourbon. If you have a well-stocked bar, you may have these already, but any brand will do, and you only need a cup. You'll also need a few clean jars to keep your homemade extract in. One bean, split open lengthwise, submerged in one cup of vodka, in a tightly sealed jar. That's it. Store in a cool, dark place and let it infuse for about a month (the longer you let it infuse, the stronger the vanilla flavour).
Chow explains that using vodka gets you the closest to a clean, pure vanilla extract so it's recommended for first timers, but if you want something special, try rum or bourbon:
Using vodka for the base creates a vanilla extract with a neutral, all-purpose flavour, but we found that other liquors like rum and bourbon could also be used to add different flavours to your baking. Try a rum-based vanilla in rice pudding sprinkled with raisins, or top a steaming mug of Irish Coffee with some bourbon-vanilla whipped cream.
Use within a year, and you can keep refilling your container with liquor as you dip into it to extend its life, as long as you replace the beans as they give up their flavour (every three to six months). The best part of the trick is that you get way more extract than you would if you just bought the same amount, and you get a far better ingredient for coffee, baked goods and other recipes.
Vanilla Extract [Chow]