There are three main things you need for this shelving unit: plywood, wooden dowels, and 1x4 or 1x6 pine shelving boards. All of these can be picked up at your local hardware or lumber store.
I chose to go with 3/4 in birch plywood. I like this plywood because it is thick enough to be sturdy and has a nice beautiful, smooth finish. A 4 foot by 8 foot sheet of this particular plywood is around $53. Home Depot or Lowes will even cut this for you into the size you need! I cut mine into 2x4 foot sections.
I bought two 7/8ths inch wooden dowels and 2 1x4x8 foor pine boards. The wooden dowels were about $5 each and the 1x4 boards were about $5 each as well. However, I only ended up using one dowel and one 1x4.