take a piece of wire - you now have an inductor. not a good one, though...
take that piece of wire and coil it around a pencil then remove the pencil. you now have a better inductor. good for some things, not good for others. it uses the permeability of air/space to 'store' the magnetic field created when current runs through the wire. It also uses the winding to create a larger field than a straight wire can create on it's own. Go here to calculate the inductance from the known physical characteristics of the coil... Air Core Inductor Coil Inductance Calculator
get a ferro-magnetic core and wrap wire around it. these cores have known magnetic properties so that the approximate inductance can be calculated from the number of turns around it.
if you want to measure the inductance, you could set up a chopper circuit that will, for a very brief amount of time, place a known DC voltage across the inductor. if you can measure the slew rate of the current through the inductor while it has the voltage applied across it, you can calculate the inductance
L = V / (di/dt)