Bubbles are awesome. Who could argue? I drink a lot -- a lot -- of seltzer, because it's way more interesting than tap water. I probably go through about a liter a day, just for personal consumption -- more if I'm making fizzy cocktails. At 2.2 pounds per liter bottle, that's a lot of heavy bottles to haul up the stairs of my fourth-floor walkup, to say nothing of the amount of plastic I'd buy from the grocery store, the pollution caused by the trucks who deliver it the store, et cetera. And while I'm a history and nostalgia buff, I'm not quite up for paying Walter the Seltzer Man or the Brooklyn Seltzer Boys to deliver me glass siphons. (It would certainly be cool, but it's hard enough getting the Postal Service to deliver to my building.) So I do as increasing numbers of people do and make my own fizzy water. Ever since Dave Arnold showed me how he makes his, I've been hooked.
Yeah, you can get a SodaStream setup practically anywhere, starting at about eighty bucks, and they do make fine seltzer. It's fantastic to have an unlimited supply of bubbles in your kitchen or at your desk. Their footprint is small, and the design is sleek. The company is doing land-office business and expanding rapidly. But, there are a few drawbacks. The proprietary carbonator capsules that the SodaStream runs on cost about $35 for a new carbonator holding enough gas to carbonate 60 liters of seltzer. (That's for a spare; a new SodaStream soda maker comes with a carbonator capsule included.) When that runs out, it costs about $15 to exchange an empty carbonator for a full one at a SodaStream retailer. Some models run on 130-liter carbonators. This seems like a hassle to me, and an expensive one. (You can hack your SodaStream to run on a paintball canister, but this will run you at least $60 and swaps one hassle for another.)
This blog isn't about taking political positions, but some may want to avoid SodaStream for political reasons; the company is headquartered in Israel, and much of their manufacturing takes place in a plant in a West Bank settlement. This has led to criticism that they are exploiting Palestinian labor and calls for a boycott. (Some new reports indicate that the company may be planning to withdraw from the West Bank.)
Of more import to me, and likely the readers of a cocktail blog, is that all you can fizzify with a SodaStream is water. They'll sell you flavor mixes (we thought the tonic-water one was...not very good), but you're supposed to add them to already-fizzy water. If you carbonate anything other than water in your sodastream, not only will you make a horrific mess, you'll void your warranty. Yes, seltzer's great -- but think of all the things you'll want to put bubbles in! I make our own bubbly water, and tonic water, and all sorts of sodas with homemade syrups, and Collinses, and Fizzes, and even our own "sham-pagne", by carbonating white wine. Carbonated cocktails are great. You can add mineral salts to make club soda, and take advantage of the acidifying taste changes when you carbonate something. Basically, it's cheaper, less hassle, and above all more fun to roll my own.
So: how do I do it? Easy. I have a carbon dioxide tank, with a regulator and some hoses. I use an adaptor that connects the gas line to a plastic bottle, and that's it.

I started by picking up a new ten-pound aluminum CO2 cylinder tank. You can use whatever size you like, but for me a ten-pound tank was a nice sweet spot between portability, heft, and not having to refill it much. ("ten pounds" here refers to the weight of the gaseous CO2 in the tank, not the weight of the tank itself, which is more.) I also liked that the ten-pound tank has a plastic handle on the top, which definitely helps in moving it around. You can get steel tanks, and you can certainly find used ones for cheap. (One caveat is that used tanks have to pass leak tests; here's a good rundown of cylinder markings.) Shop around -- since they're heavy, you may want to pay attention to shipping costs. I got my tank from BeverageFactory.com, where it ran me $83 with $18 in shipping from California to New York City. (As of this writing, they're going for $85 with $21 in shipping.) It's 20.5" tall with a 7" diameter, and my girlfriend kindly allows me to keep it in a corner of the kitchen.
You'll need a gas regulator, too, to knock the gas down from tank pressure to dispensing pressure, not to mention hoses, hose clamps, and gas fittings. (You want a "ball-lock" fitting, which is the type of connection that beer kegs use.) You can absolutely find these components separately, but I decided to spend a tad more and get a set that was already hooked up. From KegConnection.com, I purchased their "Soda Carbonating Kit" for $70. This consists of a two-gauge KegConnection.com-branded regulator with an overpressure relief valve, and a hose attached to its barb. The other end of the hose has a ball-lock gas connector already attached to it. Since I hadn't messed around with pressurized gas before, I thought it best to let the pros attach all that stuff for me ahead of time.
I also added a spare carbonater [sic] cap for $15. This is the all-important adapter between a plastic bottle's threads and the gas fitting, and it'll fit on a one-liter, two-liter, or even a 20-ounce bottle. Shipping on this order was a flat $8. (Some people have hacked together their own carbonator cap for even cheaper, using a Schrader tire valve stem inserted into a hole drilled into a soda bottle cap, but I decided to pay a little more for convenience instead of building my own cap. The carbonater cap has a rubber O-ring and a spring-loaded poppet valve so it can seal the bottle tightly against gas leaks.)
When everything arrived, I took the tank over to my local gas dealer and paid $19 to fill it with CO2. (Fire extinguisher suppliers, welding-supply houses, and lots of other places will sell you CO2. Even paintball or aquarium stores!) Got it home, and got a-carbonatin'. Fill a plastic soda bottle (you want a soda bottle, i.e., one that's designed to handle pressure, or it could burst dangerously and messily) to about the shoulder mark. Squeeze out all the air space, and put the carbonater cap on. Get your liquid cold -- remember Boyle's Law from high school? The lower the temperature of your liquid, the more gas you can get to dissolve into it -- and you're ready to carbonate. Attach the ball-lock fitting to the carbonater cap, making sure the spring-loaded collar snaps home and it's all the way on. Open the valve on the CO2 tank, and the gauges will come alive to show you how much gas is left in the tank and the pressure of the outgoing gas. (You can easily adjust the level of carbonation in your finished drink by changing the outgoing gas pressure on the regulator.) Open the valve on the downstream side of the regulator, and the bottle will inflate with a loud pop. Shake the bottle for sixty seconds or so, to increase the surface area of the liquid that's in contact with the gas, and that's it. Close up all your valves, put the bottle in the fridge to settle down, and pour yourself a nice drink.

So yes, the start-up costs are higher than a SodaStream, but the curves converge when you take ongoing expenses into account. My local grocery store sells its store brand seltzer for $0.40 a liter, making it $120 for 300 liters -- roughly a bottle a day, six days a week, for a year. (That's also 660 pounds of water to haul the four flights of stairs to my apartment.) The cheapest Sodastream is $80 (and most are around $100), plus exchanging four carbonator capsules to carbonate a total of 300 liters of water will come to around $60. So with Sodastream, you're spending $140 for the same amount of seltzer, and an additional $60/year in operating expenses. I spent $213 on my rig, including shipping and CO2, and my ten-pound tank will theoretically carbonate around 500 liters of very fizzy seltzer, with only a $19 cost to refill it with CO2. And, as I noted, it's a lot more fun to experiment with this stuff on your own with a machine you've assembled yourself. And you can fizzify anything you want to!
If you're thinking of doing this, some research helps. The first site I found was the grandaddy of home carbonation websites, Richard J. Kinch's "Carbonation at Home with Improvised Equipment." This site goes into obsessive, nerdly, passionate detail on every facet of carbonation, and if you read it all the way through, you'll be totally set. Kinch takes absolutely nothing for granted, and answers all sorts of questions. Popular Science magazine has published a great, helpful how-to guide, and there are many others out there, including from Alastair Ong at Cool Tools, Jesse Gray, and Joel Miller.
Have fun with it! Make sodas, and bubbly wine, and cocktails, and let me know what you come up with. As Dave Arnold told me once, "gin loves bubbles." How will your tongue tingle?