I have done it, glad I did it.
Having done it, I don't bother trying to make the same stuff I can get over the counter. The only reason I will make pale or crystal barley again is if I can't buy it already, because it is a pain in the neck. $3.59 per pound for the Briess line is cheap, cheap, cheap.
Certainly start with those two because they are easy. Easier. Now I only bother with stuff I can't buy. Right now I have a pound of Crystal oat malt (about 10L) "wafting" for my next brew day. A very pale ale with some mouthfeel, a bit astringent with unmalted oat.
The biggest pain is getting the rootlets (with all that protein) off the grain before you grind it.
I bought my first box of barley from a dude here, user name sounds like "fife-lee", he is in Montana somewhere. Excellent quality stuff, he basically gives you the grain for free after you pay for the box and shipping. Current thread in "For Sale" last time I looked.
I picked up a 50# sack of organic oats from a farmer local to me last month. I sure do wish I had bought from Fife-lee. My oat grains are all different sizes, and since the farmer is organic I got a bunch of some other seed in there to pick out along with the oats.
Be sure you get grains with no pesticides or preservatives on them. Lots (not all) seed quality grain is treated with some kind of rat poison.
There is (was in 2007) some really good info on BYO.com about home malting.
For quantities up to one pound it may be better to use a generous lidded pan and a stove top burner rather than the oven for the stuff under 200°F. I have a really good thermometer for baking anyway, my consumer grade oven has a real hard time maintaining temp at all under 225 and frequently swings 30°F even above that. I will be trying that (stove top mashing in a Dutch oven) next time, I'll have to get back to you.
I haven't fooled with wheat at all.
It is easier to pick out the impurities while everything is still dry.
Become confident about the difference between an acrospire and a rootlet. Rootlets are visible without a paring knife and demonstrate only that your grain is germinating. To see an acrospire you have to cut the husk open and look around between the husk and grain.
HTH, I have a 49# bag of oats and a oat stout tooth to feed... I am looking at quinoa, buckwheat and amaranth, I have a friend who is gluten intolerant. those are going to be a pain from square one.
EDIT: Getting the rootlets off is where I decided I would pay whatever I had to pay for good quality grains made by professionals. I did figure out to just wait until the grain is all the way dry so they'll break off easily, but you still have to get them seperated. I kinda glance at the window screens everytime I walk by them at Lowe's, some kind of drum with just the right size mesh, a crank and a strong breeze...