Over the years, many people concocted ways to make their own cheap video projector, varying from a cheap fresnell-lense in front of a TV (this is what all those eBay-crooks are flogging; €15 for a projector sounds too good to be true, and when it sounds too good to be true, it usually is) to an LCD-panel on an overhead projector (OHP).
The overhead projector-type of homemades can be quite good, but you can only fit about 30cm of panel on an average OHP, which means your resolution will be on 1024x768 at best, so no HD, and you'll need some extra hardware to convert the video signal to VGA, and I
explained earlier why that's not really an option when you aim for good picture quality, and not everyone has a VGA-output on his player. ;)
The next step is to build a projector with a good set of lenses; a strong, 6500K light source and a fairly big box (compared to factory built projectors).
The projector
built by Will O'brien uses a 19" HDTV-monitor with a TV-tuner and a host of other connections already built in, plus some top quality lenses, adding up to $748.
That's not really cheap, but still much cheaper than commercially available products. And I'm sure some things can be obtained cheaper as well.
The main benefit of this rig is a cheaper light source; where a regular projector bulb usually runs for several hundreds to a couple of thousands of hours and costs hundreds of euro, the bulb used runs 10.000 hours and costs only $50.
Panasonic's PT-AE900 is a HD ready projector which can be had at €1100, with a bulb running for 2000 hours, costing €400.
The benefit of buing pre-built is warranty, something that works instantly when you plug it in and a compact box. The benefit of building it yourself is lower, more spread-out cost (excluding the hours you put in), more flexibility in connections and room for tinkering.
In the end it's you making the decision.
Cheers, K.