I am thinking for some time now about building my own chess set, with some D&D figurines. The GamesWorkshop has many different interesting figurines, ranging from science fiction (check out the Tyranids) to fantasy (orks, goblins,...). I see that the Tolkien set has finally arrived.
Anyway, I was talking about building my own chess set; pity that GamesWorkshop figurines are so damned expensive, and I don't even talk about the painting hassle. I bumped into this site, which gives enough inspiration for themed chess sets, ranging from classical Greek to Egyptian styles.