I made my immersion chiller last week and it was super easy. The toughest part for me was bending the copper tubing without kinking it (I used 1/2'' coil and it took a lot of muscle to bend with the cheap-o spring pipe bender I got).
One thing, though - my first go around I went a little crazy buying compression clamps, nuts, etc. to connect the hose to the copper. These supplies alone were ~$20 at Home Depot.
Then, I realized I could simply fit a bigger size vinyl hose around the copper and screw-clamp it down. Much cheaper and it works great with no leaks as long as the screw clamps are tight.