Wood or metal, usually. Metal is more durable but good luck making one of those from scratch. Wood is easier but the quality really depends on the type of wood you're working with.

(It looks like wood it is, then!)

After that, you need something to keep all of the parts together. Usually string or some sort of glue. You don't necessarily need a head since you can just sharpen the tip but you'll need something to keep the fletching in place..

(Basically, yeah, he knows what he's talking about here.)