VINs are a bit different for each car (Duh!) but they usually have a scheme to them. Generally you can find the VINning scheme out for your make and model on the internet or, if you're lucky, right in your owners manual.
Dave has a great start, but
here is more info than you ever wanted to know about VINs.
Anyway, I just wanted to say that VIN etching is free if you buy the car used and it comes with it /ubbthreads/images/graemlins/grinser2.gif
Except I don't think our car has VIN etching, I think it has some hokey security code etched into the window that is then linked, somewhere in some database, back to the VIN.
Even if you could make a key from the VIN a lot of cars (Especially newer cars) require the key to be programmed into a computer inside the car. In some cases (Jeep, Saab, others) the dealer must be present with their little dealer computer to program the key in. In other cases (Ford, Chrysler, most GM products) you can program a new key in yourself. In both cases, however, you need a pre-existing, working key to make the process work.
Some may say that is lame and just another way for the dealer to make money, but it is a good way to separate the novice car thieves (Who won't get past a transponder system) from the experts (Who will just tow your car away anyway.) You get to hear the example of Saab since they're the company I know the most about -- first year the 9-5 was was out in Sweden 6 (Maybe 8 -- under to though) were stolen. 5 thieves had keys and the last one was towed off. None just drove away on their own.