<p>I"m considering making my own filament, with a device like the one at <a href="http://www.thingiverse.com/thing:380987" rel="nofollow noreferrer">http://www.thingiverse.com/thing:380987</a>. Partly because it's another machine to build, which is cool, but also to save money on filament.</p>

<p>Has anyone here tried to make their own filament? My main questions are:</p>

<ul>
<li><p>Is the quality comparable to typical off-the-shelf filaments? Put another way, with reasonable tuning can one produce filament that's good enough to use without a lot of frustration?</p></li>
<li><p>Does it require a lot of attention to tuning, monitoring, or other details (which make it less worthwhile / more time-consuming)? Warning of pitfalls to avoid is also welcome.</p></li>
<li><p>Are there useful things one can do this way, that are hard to achieve with off-the-shelf filaments? For example, unusual materials; better control of diameter, density, etc; or mixing one's own colors?</p></li>
</ul>

You can basically use any machine that pulverizes your pellets into small pieces.
One guy on 3dhubs, explained it in details.
My conclusion is that you can recycle everything using this data gathered from research up in link there.
Also, you can use any plastic material and pulverize it into pellets (even from the bottles) and you can try to do this process. Only thing that matters is quality of product.
I was thinking about pellets from vinyl records. I bought one big collection before one year, and there was around 500-600 records that are completley useless. So, you can pulverize them and repeat the process, because process of making vinyl records and process of making bottles is completley different, and uses different kind of plastics.
So to draw a conslusion: everything depends on quality of pellets.
And to answer on your three questions:
Is the quality comparable to typical off-the-shelf filaments? Put
another way, with reasonable tuning can one produce filament that's
good enough to use without a lot of frustration?
No, it isn't Your filament would be lower quality if you don't get a great pellets.
Does it require a lot of attention to tuning, monitoring, or other
  details (which make it less worthwhile / more time-consuming)? Warning
  of pitfalls to avoid is also welcome.
Yes it does. Check the link up there.
Are there useful things one can do this way, that are hard to achieve
  with off-the-shelf filaments? For example, unusual materials; better
  control of diameter, density, etc; or mixing one's own colors?
Again, it all depends on type of filament you like to use. I wrote about plastic filaments.