For a full writeup go here: http://francisshanahan.com/index.php/2008/math-woodwork-homemade-wooden-burr-puzzles/
I came across IBM's website on burr puzzles [LINK] and decided to make one.
"Burr puzzles are interlocking puzzles known in Europe and Asia since at least the 18th century. Traditionally they are made from wood....and require special wood so that the pieces do not change shape too much in changing temperature and humidity."
To make these, I ripped a thin piece of oak to 3/4" square using my table saw. The pieces are 2 1/4" long so your piece needs to be about 18" long to get 6 pieces. I actually cut 7 in case I screwed up. I later made another with Cherry and found it a much easier wood to work with.
I first picked "David Winkler's favorite level 5 burr" [LINKLINK]. This is a "notchable" burr meaning you can construct it entirely by notching the pieces. I used a bit of red-oak I had laying around. This burr is 6 units long, 2 wide. The unit size in my case is 3/8" which I found a good size. The design in this case is a "5.4" meaning there are 5 moves required to remove the first piece, then 4 to remove the 2nd.
Just print out the pieces you want to cut and bring that sheet to the workshop. For notched pieces your best tool is a bandsaw and some sandpaper for fit.
Each "notch" is 3/8" of an inch. There are six notches per piece.
The IBM site has other "general" pieces which have notches that only go half-way, for these I used a mortising chisel or hand chisel.
These pieces are small. The slower you go, the better they'll fit. Take your time, have fun and watch your fingers.