Steel/aluminum 2.0mm thick sheets (you can go thinnner but then they get flimsier)
Most likely you will want to weld this case for strength around the edges and main joints. everything else you can either tap and screw or jsut bolt in.
You'll want a generic case design to look at, and a basic diagram of the main parts of a case. Most important are porbably mobo tray, HDD/CD rack, panel fittings, and PSU bay...you have to make it ti where any brand/design hardware will be compatible...and thats pretty hard.
Your main problem is it's not going to be EMI shielded...most likely. And you are going to have alot of sharp edges since you will be dremeling/sawing it. You'll want to creata a front bezel and getting the side panels to slide on/off straight will be a challenge.
It looks pretty hard to me...unless you are good with metal and shaping it and all that. I suggest you make a wooden case really. Much easier and it really looks better. I'm better at cutting wood than i am with aluminum lol.