Do you have any experiance in fabrication? If not start small and work up to a cage. That or the offroad armoury will do you one (Among other places), try there website for phone numbers etc.
The cheapest bender suitible is something like this:
http://www.machinemart.co.uk/shop/produ ... ipe-benderSimilar ones are cheaper else where.
Get the tube from youre local metal supplies place, in my opinion the minimum you want is 48 x 3.2mm blue band as far as i can remember thats the minimum listed in the MSA book as well.
Another thing, do you're research! Find out what makes a cage strong, the best way to weld it together, bending techniques etc... Theres a rollcage 101 in the how to section, on pirate 4x4 there is also a tube bending 101 (I was going to post that link up but kept forgetting)
Also, dont listen to me, theres a million different opinions on roll cages and i dont claim to know what im talking about which is why im not giving any specifics on what you should actualy make. Like i say do youre research, decide what you want from youre cage, how elaborate you want it to be etc... And work within youre ability.