If you live in a region with a short summer growing season, cold frames allow you to plant earlier in the spring and to extend the harvest season. Remember, for a cold frame to be effective, you have to choose cold-hardy plants to grow in it.
What is a Cold Frame, and What Does It Do?
Cold frames help regulate temperature (it's not unusual for it to be 10ºF or more warmer inside one), but their main purpose is to temper the wind, rain, snow and other inclement weather that comes in the fall and winter.
Keep in mind that cold frames won't enable significant winter growing of crops, it will mainly extend the harvest season of crops which are almost or already mature by the end of fall. That's enough information to get the avid DIY-er started on a building project.
Select Materials for the Walls and "Light"
There are two parts to the cold frame, the sides and the top cover, or "light." If you can find an old storm window to use as your light, that's great. If not, use panels of glass, plastic, fiberglass, or other transparent material. You can affix multiple light panels to a single, extended cold frame if you wish. You should design the dimensions of your cold frame to match the size of your light, so that it will be able to rest on top. Try to find panels with as few crossbars as possible so that rain can run off the light. For the sides, you can any material you have readily available to you such as wood panels or cinder blocks, but you should take into consideration how you plan to use your cold frame before you gather materials.
Options like whether you plan on moving your box around or keeping it from year to year in the same spot will determine which type of material to use. You can design your cold frame to be as long as you desire and it should run along an east-west axis. The cold frame can also be as tall as you desire, but should not be taller than a couple inches above the fully-grown height of the crops it will house. The back or northern wall should be a few inches taller than the front or south-facing wall to allow an angle towards the south, since the south side receives the most sun exposure in winter. Keep the angle low so that the light merely grazes the tops of your crops by a couple inches at most.
If you want a little more guidance, here is a shorthand guide to constructing your own traditional 4-by-8 foot cold frame as described by Elliot Coleman in his excellent guide Four-Season Harvest.
In addition to the light, you'll need:
-two 8-foot-long 2"x12" boards
-one 8-foot-long 2"x8" board
-one four-foot-long 2"x2" board
Cut one of the 2"x12" boards in half and cut each half diagonally so that each one is tapered, 12" high on one end and 8" high on the other. Cut a 2"x2" notch in the center of the other two boards, the 2"x8" and the 2"x12". This notch is where the 2"x2" will lay to support the light. Nail these boards together on a flat surface with the cut edges of the two side boards facing up and the notches on the other two boards facing down. Turn the frame over and nail the 2"x2" across the frame, into the notch. It is a good idea to build a lip around the top edge of your frame so that wind can't easily blow your light off. If your light material is lightweight and you experience windy weather, you'll want to clip it down.
For more information on cold weather gardening, check out Elliot Coleman's Four-Season Harvest.