I made a child-safe roman shade (the cords on the back are shrouded-- like this: http://www.terrelldesigns.com/Instructions/Make-a-Safety-Compliant-Classic-Roman-Shade/Preparing-to-Make-Safety-Compliant-Classic-Shade) for my DS's nursery window. I made it because I like to choose my own fabric, and the window is a really weird size. I used black out material for the lining and am so glad I did. I like my sleeping rooms dark.
Making a curtain is mostly an exercise in very fiddly measuring and cutting of fabric. That part is hard to make absolutely perfect and square when you are dealing with lots of fabric and long lengths. The sewing part is for me the easiest part.
I also made a crib skirt and fitted sheets to coordinate with my roman shade. I may add a crib bumper when DS is a year and if he is not a climber.