Low cost personal biofeedback devices. Designed to detect REM sleep.

Halovision (coming Dec 2015) – $150
A headband with a NoIR camera that detects eye movements behind closed lids. Non-invasive.
Pro tip: draw a contrasting triangle on your eyelid.
LSDBase Entries | Lucid Scribe Plugin | Pre Order
Electroencephalograph (obsolete) – $256
A headband with an electroencephalograph based on the OpenEEG project. Detects REM sleep from the spikes in electrical activity caused by the eye muscles, but also records the unfiltered brainwaves.
Active electrodes: 4, passive electrodes: 1
LSDBase Entries | Lucid Scribe Plugin | DIY (EEG SMT, 4 x AE, 1 x PE, 1 x USB)

Frequency Monitor (obsolete) – $128
A headband with an accelerometer that is sensitive enough to pick up the heartbeat and can detect eye movements.
Resolution: 3660µg, measurement range: ±5g (49 m/s2)
LSDBase Entries | Lucid Scribe Plugin | DIY

To make one professionally, suit up and get two halo headbands (one white tie, one black pullover and some iron on tape so you can make a smugglers belt in the middle for the cables and sensors).