Quadcopters are kinda expensive to build. I've got no experience as such, but a friend of mine had built one. As far as I can remember what he had problems with:
-mechanical construction - everything has to be very light, but durable. Extensive use of carbon fiber, balsa wood etc
-motors - light but also high rpm
-battery - light, but with highest capacity possible (not like it's gonna last more than 20 minutes anyway...)
-electronics - some expensive sensors including mandatory gyroscope and accelerometer, and also less mandatory but still useful temperature, pressure and compass.
-control - high performance MCU capable of gathering all the data from sensors and executing regulation algorythm (PID, Kalman filter, etc...)
-high density of components - probably not possible to make pcb at home, has to be ordered
-steering apparatus - at least 3 channels, probably more
-safety measures - such as automatic shutdown in case of controll loss to prevent anyone getting hurt
If you add costs of prototypes and failures (drop from anything above 1m probably means total rebuild)