The first step in making a record, obviously, is to have a recording. We're not gonna go into that here, so that doesn't count.
Mastering:
The first step in getting records pressed is Mastering. Basically, this is where they cut the recording onto acetate. What's acetate? Who cares? Esscentially, they cut a record. To do this they'll need a copy of your recording.
I go through Aardvark Mastering and Plating. They are the cheapest that I have found anywhere. They can use almost any format of recording to master from - Cassette tape, CD, DAT, etc. They suggest that you give them the most original copy, rather than risk any sort of sound degeneration that is inherant with copying.

Aardvark's pretty cool, too, because they'll do special, weird shit like cut the record backwards (so you drop the needle in the middle and it goes toward the outside rather than vice versa) and they'll cut double grooves (so there'll be two grooves on each side, like if the needle skips, it'll skip to the other groove which will be different).
Plating:
The next step in getting a record pressed is Plating. This is where they take the acetate with your recording cut into it and make a reversed metal plate with it. What they get is a stamp to stamp out the records into vinyl.
Most pressing plants that do it all, charge to master and plate per side. Aardvark Mastering and Plating charges one low price for both sides. They run their business out of Denver, CO. I've never had a problem with any of the work on the 6 records I have made with them. They'll master it, plate it and send it to whatever pressing plant you want.

Pressing:
This parts easy to explain. They use the plate to stamp the records.
What you need to know is all the other crap they do around it, about test pressings, printing labels, printing labels and how they charge for all of it.
Test Pressings are just that, they're a tests to make sure your records are what you expected them to be before you spend more money to go through the whole process to make bunk records. Personally, I find this pretty stupid. At this point in the process, it's pretty much the point of no return. They usually cost around $25 and you get about 3 of them. If you feel like I do, you can usually just skip this point of the process and not bother paying the 25 bucks.
Color vinyl is usually extra, at least I've never seen it for free. You can get red, blue, green, yellow (sometimes called gold), clear or white. With the exception of white, all the colors are see-thru. If you want them opaque, you'd have to mix white with the color. Sometimes that's extra and it usually turns out to be swirly rather than the straight opaque color. Ask them about it so you don't get something you don't want. Test pressings are usually black, don't let that freak you out when they come in the mail.
Most pressing plants print the labels themselves or have someone that they usually go through. You can get them printed somewhere else, but I never have. It doesn't cost that much to begin with and you don't have to worry about shipping costs and the delay betweeen plants. They'll ask for ink color and paper color. With most plants, you just send them camera ready artwork (pictures of the labels that are the size you want them to be). The words or pictures should be black while the paper color would be white on the artwork you send them. The specific plants will have there own instructions.
They price the records per record and you gotta multiply by how manyyou get. Why, when I was a boy, I got real excited when I saw that I could press records for 35 cents.
The only other costs you'll have to worry about at the pressing plant will be any kind of set up charge (they might charge a bit extra for short runs under 1000)... Oh, and shipping.

Check out Archer Record Pressing in Detroit. They only do 12" records, but they're cheap and local. I used to use United Record Pressing in Tennesee, but they recently became "Anti-Piracy Certified" which I think is fuckin' ridiculous, so I won't be giving them my business.

Covers: 7" covers are easy. You make a cover on 8 1/2 by 14" paper, xerox it, cut off the extra inch and a half and fold it. It's easy to steal them from kinko's cuz they're stupid, but color xerox's are a little hard to do that with.
If you wanna go big expensive, it's easy to find printers that will print real sleeves for you. The pressing plant may even stuff your records in them for small charge.
12" covers are a little more expensive. The plants will include the paper sleeves, but proper covers are gonna be extra. Most plants have jackets with die-cut holes in them (that's the blank covers with the big fuckin' hole over the label). Printing up "real" covers cost as much as the records, but blank covers, either black or white ones, cost about 50 cents and you can screen print 'em or paste a picture on them or what have you.
Poly bags are useful, especially if you made the covers yourself, it'll keep 'em from gettin' fucked up.
Bags Unlimited has a ton of different shit for packaging records. They got all kind of poly bags, sleeves and blank covers.

Aardvark's got a ton of links and addresses on their site for just about anything you'l need beyond mastering and plating. Check 'em out, they're reall nice, DIY type folks.

If you know more than me on this stuff, or know any other cheap places to make records at, drop me an email at baron@crimsonguard.net. Thanks.