As I've mentioned before, making a corset was my first foray into the world of costuming. Since it was the first project I tackled I didn't think making a corset was a big deal. Some people are a little intimidated by the thought of making a corset but there's nothing to be scared of! Just take your time and you'll create something that you can be proud of.
If you are looking for a great resource on putting together your first corset (as well as supplies you'll need) you definitely want to check out Farthingales' website. Along with providing all the supplies you'll need they have an online corset class. You can also do a web search on 'making corsets' and you'll see quite a few sites and photographs.