Lucky for you, there's a book that covers just this topic. While on one of my frequent visits to the computer security section of Borders, I stumbled across a book called "Build Your Own Security Lab: A Field Guide for Network Testing" by Michael Gregg (has authored several security books, specifically the CEH ExamPrep guide mentioned in these forums).
This book seems to be a great resource for getting started with your own lab and getting up to speed on many different tools. For those of you that are already experienced or that have read the ExamPrep book, this one seems to be more like v2 of the study guide. It covers much of the same material but does have some newly added stuff as well. For those of you just getting started, this is probably a good book to have on your self.
If anyone has any personal experience with this one or has read it, please post your thoughts. I only glanced through it while at the store.
Wiley - Build Your Own Security Lab, by Michael Gregg