Minifigures creator? Does a website to create custom minifigs exist?

For exemple, you choose your head (between all official LEGO releases), torso, legs, and hair, and then you can purchase it for the same price as you would if you were buying each of the pieces from a Bricklink seller.

I'm looking for a simple way to create yourself and your friend's avatars in LEGO.
Minifig Generator might work for you.

Or maybe the SigFig Creator.

Flash based, but also fun: Mini-Mizer.

Even better, suggested by rioforce: LEGO Universe Minifig Wizard

I'm sure there are more...

6 hours later...  OH!  you mean like an actual bit of molded plastic.

For that, probably your best bet is using one of the above to find some approximation and then hit up something like Bricklink to buy the proper parts.