There are lots of beautiful veils available (most with copyrighted photos so I won't use them here), but you can apply the principles from my post earlier this week to create many of them at home.
The foundation fabric most commonly used for veils is tulle, a fine netting typically made of silk or nylon. Nylon tulle is very inexpensive and comes in a variety of widths, up to 108 inches. Because it will not ravel when cut, it's perfect for this use.
This one starts with 72" or 108" width tulle. Cut a rectangle the length you want for your finished veil and then generously round the bottom. Hand sew the trim onto it according to yesterday's directions. To finish it, gather the top edge with a running stitch and sew it to a plastic comb (or two).
This one is a large oval of tulle with lace sewn around the perimeter. (Probably 72" width, but measure from one elbow, over your head to the other elbow for an accurate diameter.) It's worn just draped over her head, without a comb in photo 2. To wear it like photo 1, hand sew it to a plastic comb under the lace at the center top. To reinforce the lace, you could sew a piece of satin ribbon between the comb and the underside of the veil.
Instead of a lace edge, this one has a narrow, satin ribbon machine sewn about 1/2" from the edge of the tulle. After you attach the ribbon, trim the extra tulle edge away and attach it to a comb, headband, wreath, or hair clip.
This edge is finished with a narrow, satin rattail cord. Simply lay the cord on top of your tulle, about 1/2 inch from the cut edge, and use a zig-zag stitch and clear nylon thread or matching cotton/poly or rayon thread made for lightweight fabrics. Your stitch width should be wide enough that the zig-zag goes on either side of the cord, but not through it. Carefully cut the extra tulle off the edge without cutting through the stitching, and finish the veil with some kind of comb, etc.
This helpful site gives measurement suggestions, but there are also patterns with detailed instructions available.
Making a veil can be a very satisfying project. Besides the potential to save a lot of money, even a novice seamstress can get beautiful results.