My husband and I just made a headboard for our bedroom out of a 1/2" thick piece of 8' x 4' sanded plywood (14 dollars). We had a quart of interior latex enamel tinted a dark dill green (cost about 11 dollars) and painted the face and sides of the plywood (after sanding it very smooth). We cut a piece off of a 2x4, sanded and painted it, and used wood screws through the back of the plywood sheet to form a "shelf" for some candles.
The whole thing was attached to the wall by drilling through the studs and using wood screws right into the wall (we painted the screws green afterwards). It goes right up to the ceiling and is about an inch above the baseboard at the bottom by the floor, which does not show since the bed is in front of it.
So for less than thirty bucks and not too much hard work, we have a really modern and professional-looking bed :)
This is a picture of that same room BEFORE we bought the house - ACK!