I made my first pipe from pipe pieces purchased at a hardware store. Just browse around, find a good bowl end and a good mouthpiece, and then get some parts to fit it together. You can buy screens there too.

Advantages:

It's cheap, it's easy, and if you clean it and take it apart and store the screens separately, it just looks like junk of someone finds it.

You can put it in the freezer before you smoke and it will cool your smoke - Just be sure to lubricate the tip or your lips with lip balm or something or you'll stick to it like that kid on the flagpole in A Christmas Story.

Disadvantages:

The checkout person at the hardware store will probably know exactly what you are doing if you buy the parts and screens at the same time - Go thru 2 different lines if possible.

Depending on the pipe fittings you select, you may get a crappy metallic taste, or undesirable metals in your smoke.