The cooking blog Steamy Kitchen has a recipe for home made Teriyaki sauce if you don't care for the bottled variety. It's basically just a blend of soy sauce, brown sugar, fresh ginger, garlic and rice wine for the most part. I believe all you really need to do is add the ingredients to taste, simmer them together in a sauce pan until everything is combined and the sugar dissolves, then strain and chill for future use.
I think part of the trick to making a good Teriyaki chicken (or any meat for that matter) is to marinate it properly so it is absorbed into the meat. But even more importantly is how you cook the meat itself. You need to cook it at the right temperature to develop a nice deep caramelized glaze on the exterior while ensuring the inside of the meat is properly cooked through. I very much prefer dark meat chicken when attempting something like this, since it holds up perfectly to the cooking process whereas white meat gets dried out too easily. I usually cook it at a medium to medium low temperature and take my time, whether I am pan frying the marinated dark meat chicken or grilling it. Cooking it too fast leaves you with a burnt exterior and an under-cooked and gummy interior.
Also, if making your own Teriyaki sauce or purchasing the pre made variety, be sure it's made with real brewed soy sauce. Most common brands in the US aside from Kikkoman don't use real soy sauce - it's some sort of yeast extract crap which tastes nothing like naturally brewed soy sauce..
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