I try to, since the store bought ones taste so incredibly artificial. My problem with making my own dressings though, is most of the recipes I've tried I didn't really care for. I have yet to find a decent recipe for a good homemade Italian dressing. Every time I make it myself, it tastes bland, and/or the flavors are just off - can't quite put my finger on it. Also the dried herbs never seem to soften up, and it has a weird mouth feel. I think they put maltodextrin and other stuff in store bought Italian dressings to help give it a more viscous quality and to aid with the dressing not separating.
One recipe that I did really like however was over at ChipotleFan.com, they have a copycat recipe for Chipotle's house dressing which is really good. I've never ordered salad there to compare how close it is, but regardless it's great on its own.