The Amontec JTAGkey is nice, as it offers variable target voltages, and comes in a nice and small case, but of course you can build one yourself, too.
My diploma thesis (available at the project site) describes the “USBJTAG-1” which I originally used to write the FT2232 support. It consists of a DLP-2232M evaluation module from FTDI and a 3.3V voltage regulator, and is really easy to build yourself.
I am in the process of making a PCB which has both the FTDI chip and a LCP2103 chip on the PCB. I will be releasing the design under the GPL2. I do no want to release it at this time as I do not have the PCBs back from the Manufacturer.
Let me know if you are interested in finding out more when I have actually made up my first couple of boards.