Making liquid nitrogen probably can't be done at home (or at least not easily). These tips, however, about temperature and more can help.
The process of creating liquid nitrogen begins with regular air which is made up of around 80% nitrogen, the most common element in the atmosphere. By compressing that air to around 3,000 psi the molecules are forced much closer together than they are under normal atmospheric pressure. This compression makes the nitrogen molecules bump into each other more frequently and the increased interactions increase the temperature of the gas. If this compressed gas is allowed to cool by radiating its heat (usually run through a series of coils exposed to room temperature air or cooler) there now exists in the pressurized environment a compressed gas at a lower temperature.
One property of gases is that when they expand they absorb heat from their surroundings. A familiar example of this property is easily observed by allowing water to evaporate on the skin. The water molecules absorb heat as they expand into a gaseous state and actually lower the temperature of the skin. The same is true of compressed nitrogen gas. When the nitrogen that has cooled a little after compression is allowed to expand it absorbs heat and produces a cold effect. This process is similar to what happens in a common kitchen refrigerator but to make liquid nitrogen the process is repeated until temperatures of around -196 Celsius are achieved (The boiling point or the point at which gaseous nitrogen transitions into liquid nitrogen).
Because of the extremely low temperatures involved, precautions must be observed when handling liquid nitrogen. Exposure to the liquid can cause cold burns but due to the Lieden frost effect, which causes any objects placed in boiling nitrogen to become surrounded by a thin layer of protective gas, brief exposure is not as dangerous as popular mythology might lead some to believe. Other dangers include explosion due to the rapid release of the compressed gas and asphyxiation if too much nitrogen gas replaces available oxygen.
Liquid nitrogen is actually relatively cheap to make and nitrogen itself is extremely abundant but due to the technical challenges (and safety concerns) involved in its production, making it is probably not a do-it-yourself project. One can achieve similar effects and can reproduce some of the fascinating experiments commonly performed with liquid nitrogen with a simple alternative: dry ice or solid carbon dioxide. This material is much easier to purchase, store, and transport and for most projects it is much safer as well.