This is a very broad subject, as your options for linear bearings are many. For most hobbyists, making some kind of home made linear bearing is the way to go at first, or finding a good deal on "real" linear bearings on eBay or similar sites. There are many good designs that can be made from regular skate bearings and aluminum angle. It's beyond the scope of this article to try and describe all of the many home made designs or even the many different styles of the ones you can buy, so in this section I will try to explain what a linear bearing is and a few of the different styles.
Linear bearings provide free motion in one dimension, or basically they allow your axis to slide back and forth - constraining the movement to that one axis or dimension. For example, the X Axis allows movement in the positive and negative directions on the X line, but it cannot (or should not) move in either the Y or Z directions. if it does then that's called "slop" and that, along with backlash, are the biggest problems your will probably encounter if making your own machine. Slop and backlash cause accuracy problems, for instance if you program a part to be 4" X 4" but you have .01 backlash and your x and Y axis aren't very tight, then you'll likely end up with a 4.02" X 3.97" part instead - and probably skewed and not at all square... Not good...
Most of the linear bearing solutions are comprised of the bearing which has the rolling technology and those ride on some form of rail that's stationary and goes along the axis.
The few types of linear bearings that I've worked with are
Roller Bearing - There are many styles of roller bearing, from the home made skate bearings riding on aluminum angle, to V bearings riding on a steel rail
Ball Bearing - Ball bearing linear bearings have small ball bearings in the linear bearing that ride in a groove on the rail, these are very accurate, but more expensive for the bearing and the rail
Friction Bearings - Friction bearings are just two materials sliding together. Some are made of self lubricating materials such as Delrin or Acetal, but some are also made from steel and cast iron and need some lubricating grease to slide smoothly.