After reading some stuff by Ross Enamait, I've built myself a sandbag and I'm finding it to be an excellent conditioning tool. Enamait's guide to building a sandbag is here, but there are some problems with his advice. Here's how you should go about making one:
Get some sand from a beach or somewhere. You could buy it from a hardware store, but I'm a penniless student and I've found there's free sand around if you keep your eyes open for it. (Feel free to have a go at my shameless cheapskating .) How much sand depends on how hardcore you are. 100 kg should be plenty. Ross Enamait advises packaging it into ziploc bags, but they won't be sturdy enough. I used those polypropylene pockets for keeping paper in. (These things, I mean.) I put 2kg in each and taped up the ends. Balloons should also work well, or else just cut the corners off garbage bags and tape them shut. Do not fill these small bags more than 2/3 of the way. The sand needs to be loose. Squeeze the air out before you seal them.
When you've packaged out all your sand into these small bags, put them in a larger canvas bag. I'm using a military kit bag, which isn't quite ideal, because it's too long and thin. Something like a mail sack would work well. Now, the clever thing about the sandbag it can weigh as much or as little as you need for the particular exercise - just add or remove the small inner bags.

Tha advantages of sandbags:
All that loose sand sloshing about inside means you have to adjust to an unpredictable weight, making your stabilizer muscles work extra hard
You're conditioning and strengthening your hands by gripping the canvas
You can adjust the weight easily

Things you can use a sandbag for:
In place of barbells for squats, deadlifts etc.
Use a lighter sandbag for curls, swings etc.
Throw it around for plyometrics
Hold it to add weight for pistols, calf raises etc.
Put the small inner bags into a backpack for running, pullups, twists, crunches etc.
Hang it from something for use as a punchbag (Now that's versatility for ya!)
Make a little bed for your dog
The world's a will to power and nothing besides