Here are some ideas for you:

1. Mesh
2. Foam
3. Framed cloth
4. Framed wicker

Mesh grilles are easiest, and very durable. Those are the kind you find in the prosound and autosound markets. Basically, you just buy a grille that's premade for the driver size and bolt it on over the speaker. They're held on by the same screws that mount the driver.

Foam grilles are also easy. Some are premade to fit, others are cut to fit. Basically, you just use a coarse foam like is often used for air filters, except air filters usually use a dense foam. There are a variety of styles and patterns available, and you attach it with velcro.

Framed grilles are made like a picture frame, with a material stretched over them. They are usually attached with snap-fit fasteners that must be installed in the loudspeaker cabinet and the mating pieces in the grille frame. Alternately, light framed grilles can be attached with velcro. There are a variety of grille cloths available, some that have a distinctly "retro" look and others that are more modern.

Some of the guys here have made some really cool grilles. Check out the speakers on Danny Beardsley's "π Pics" site for some neat ideas in this regard.