Aside from reasons relating to politics and money, there are safety concerns with making your own 'shine. One is the possibility of the still exploding from a buildup of internal pressure. Otherwise, there is the possibility of poisoning yourself with volatile oils or other contaminants by not discarding them during the distillation process or by not maintaining careful temperature control. The most prevalent health problem is contamination of the moonshine with high levels of lead. Laboratory glassware tends not to be something the average Bootlegger possesses, which means he or she will probably use metal components. Welding metal parts or using inappropriate materials (like car radiators) can lead to the leaching of lead into the distillate. It's possible to filter the lead out, but many people are unaware of the hazard.
Anyway, for your entertainment and edification, here are instructions for making moonshine.