It doesn't rain much where I live so I don't have to deal with this issue very often. However, it was wet out there the other day and I was hankering for some riding so I decided to construct my own mud protection. The first thing I made is not a new invention but is great for keeping mud out of your face - its pretty popular with downhillers. It has a name starting with "S" and is pronouced something like schnidoof or shnichimut - I know I'm way off so if you know it's actual name please tell me. Essentially it's a piece of old tube that is attached between the fork crown and the arch. Most people attach it with zip-ties but I wanted mine to be removable so I used some velcro strips. When your wheel is spinning at high speed, mud is thrown in front of you which you end up catching with your face; the S-word does a great job of stopping this mud and keeps you much cleaner.
At the rear end of the spectrum I have built a fender from an old milk container and attached it to the top of the seat-stays. I was toying with the idea of having it sit under the saddle like a race fender but thought it might gain better coverage if it were closer to the wheel. Again, you could punch some holes in the plastic and attach it with zip-ties but I used some craft wire that I had lying around.