First, decide the length and depth of the shelves. I considered the size of my components, and that I wanted 3 components per shelf, with room to spare. I also considered the length of my wall and room on the left & right for the speakers.
I had my shelves made in thick, dense, black walnut by a wood worker. The shelves were joined like any table top. The wood worker I used makes great stuff and has good attention to detail. This type of work for a guy who makes tables or other furniture should be a breeze and potentially not very expensive. A local cabinet maker is also a good place to inquire. For weekend warriors, I would not recommend joining the shelves yourself. You will never achieve the level of perfection as one who does this regularly and has the proper tools and space.
I believe my shelves are 1.75” thick. The thicker the better - they look really great. I think that thick edge really makes the piece that much more attractive. You can use any type of wood, and you do not need particularly thick pieces for joining. Good technique and wood glue make a great joined piece, stronger even than a single plank. I have crawled on and kneeled on my rack several times. Black walnut is quite attractive and quite hard on the Janka scale, though not as hard as some varieties of Maple. Mine is natural in color, no stain at all, just oiled, and finished with a furniture wax.
I then asked the wood worker to make holes with a drill press at precise locations that I drew on a schematic for the threaded rod to pass through. You have to look at what washers and rod you will use first to be able to properly specify the diameter of the holes to be drilled. The holes need to be larger than the rod, and smaller than the washers.
Finally, I used very thick stainless steel threaded rod (1" diameter), huge stainless steel nuts (huge nuts, he-he-he), and stainless steel washers (2" outer diameter). Stainless adds a lot to the cost of the threaded rod and parts, but I live in a humid climate and I do not want any surface rust on the audio shelf! Not only that, the Stainless parts have a more refined look than other grades of steel. The McMaster Carr website is a good starting point for the rods and hardware, but I ended up buying locally at an industrial tool shop.
If you zoom into the photo, you can see the construction method - it's pretty simple. All you need is 2 big, cheap, adjustable wrenches and a level to assemble the rack. Be sure the shelves are perfectly level, and then tighten the opposing nuts as tight as possible.
Finally, I drilled some holes in the back (using a hole saw attachment for a drill) behind the main 3 components on the center shelf to be able to use for cable management.
I am sure there are ways to improve this design. I considered using some dampening material in between all of the washers and the wood, but quality dampening washers are very pricey, and the tightness of the nuts may diminish the benefit of dampening material, so I skipped it. The shelf does not seem very resonant, but I have no way of really knowing if that statement is very true.
Good Luck, and feel free to ask any questions.