They're simple to make.  First you need a spinner with two holes near the center.  Just about anything will do -- a button, a piece of cardboard or plastic, a sliver of old bone.  The Gunbatau of Alung-Bewai used old credit cards, which they gathered from trash containers along the outskirts of Chulum-Sanda.  Next, run a loop of thread or string, about 2-3' long, through the holes so the spinner is somewhere in the middle.  Drape one end of the loop over one finger on each hand, pull it tight, wind it up a few times, then give it a tug.  With practice, you can get the spinner spinning back and forth to make a noise that sounds almost, but not quite, like something that has nothing whatsoever to do with bulls.
 
You can make these things just about any size, ranging from tiny 'gerbil-roarers', fashioned from shirt buttons and bits of thread, to massive 'extinct-mammoth-roarers', fashioned from manhole covers and lengths of rope, operated by teams of stalwart youths hauling on each end.  Alternatively, if stalwart youths are not available, you can use somewhat larger teams of lingerie models, though this can lead to problems under some circumstances.
 
Hoping this has been of some use...
 
DesertPilot
 
P.S.  There are no such things as the Gunbatau, Alung-Bewai, or Chulum-Sanda.  I made that part up.  But I had you reaching for Google for a second there, didn't I?
 

Quote from wanderer on Sep 28^th, 2007, 1:09pm:

 
Wanderer's quite right, the whirl-around-the-head thing is indeed another form of bull-roarer.  I've seen the same term used to describe both types of noise-making-device.  But with the whirl-around-the-head gizmo, you're pretty much limited to using stalwart youths, which can lead to widespread unemployment in an important section of the modeling industry...

And, as I recall, the bull roarer was used for communication over distance by the Australian aborignals.   You can vary the pitch and volume by varying the speed of rotation.
 
Trebuchet

Just made one, I was hoping it would be louder. Took 3 minutes. Materials.....plywood, string. Tools ....jigsaw(optional), knife.
Im going to mess with it and see how loud I can get it. The string did indeed do the twist, it had a marked effect on the sound as it got tighter. I'm thinking a spinner lure assembly might help. Geez Im already all worked up about this, I really got the old noodle going.......can you smell the wood burning?
      Well, my little woman and my merlot are waiting for me. Might get tricky explaining to her what the hell I was doing out on the lawn in my undershorts with a jigsaw(dont worry, we're in the middle of nowhere, not a neighbor in sight).
                         Happy slinging.

I've got a genuine aboriginal one that is an oval piece of wood with cord attached. You just swing it round your head and it makes a noise. No reason at all why other things shouldn't be used for the same purpose - but if you want it to make a decent noise - it needs to be a good size and swinging at some speed.  
 
read 'The Last Continent' by terry pratchett. A bull roarer plays a fairly significant part towads the end ;-)
http://www.harpercollins.com/features/pratchettbooks/description.aspx?isbn=97800 61059070