Somewhere on net I found a text file (or something) describing how to make a (very inefficient) transistor (using salt water and canning jars, IIRC). There's also making batteries and such.
If you're really interested in this, go to Lindsay Books and buy a copy of "The Boy Electrician" by Alfred Morgan; its a very old book that should be up your alley:
http://www.lindsaybks.com/
Alfred Morgan wrote several of these kinds of books - most of the projects can still be made today, but some are impossible to get the materials for (they're restricted or no longer for sale to individuals) - some are downright dangerous (in the book mentioned, there's an x-ray flouroscope described which would probably raise your chances of getting cancer).
Lindsay Books also has a ton of other "old-timey" books that may interest you.
There are also people out there if you search around who homebrew their own vacuum tubes; you can fairly easily make certain kinds of capacitors and resistors as well.
Finally - a couple of other possibilities: Go to google books, and look up old Popular Mechanics, Popular Science, and Popular Electronics (and Electronics Now) magazines - a lot of the older stuff has been scanned, and is free to read; provided you stay in the range (for certain mags) of 1900-1980 or so - you should find lots of interesting articles (oh - don't forget Scientific American's Amateur Scientist columns - there's a DVD of them available out there as well).
Also (if you can stand the decidedly un-PC nature of it) - check out Kurt Saxon's "The Survivor" series and others (
http://en.wikipedia.org/wiki/Kurt_Saxon) - The Survivor is interesting in that it is a set of ten volumes of a somewhat haphazard nature collection of articles, anecdotes, designs, encyclopedia, etc - of various bits, trivia, apocrypha - you name it, its in there - collected from a ton of "old-timey" magazines and other sources; you'll be amazed at what is in these books (there's also a PDF collection available).