If you're a practices TIG welder, then I would recommend making a butted frame, but if not, then I would go with lugged.
There are quite a few places to get the materials, and many sell either precut tubes, or tubing "kits" even to help out the begining builder. Sorry I don't have any links right now.
IMHO, there are only a couple of reasons to try this, either you need a custom frame, and/or you just wanna. By building your own bike you have total control over the handling, strength and comfort characteristics along with ride quality.
Good Luck!
BTW, AtomicZombie is good for making things of other things that are all bike related, but I don't consider his methods as "refined" as I would like. That being said, his welds are very nice, and his construction is solid, just not my style.