I meant 10Gb network connectivity. No, I've never personally seen a NAS being used - it's always SAN or local storage in my world. I know it's possible in theory, but I'm still not convinced by performance.
The SAN's I've been involved in normally use Fiber Channel or iSCSI - iSCSI is by far the most popular because it's quick enough for most things, but doesn't need any extra infrastructure. You'd definitely want iSCSI on its own VLAN, though.
It's definitely possible to roll your own, but I wouldn't know where to start. You'd almost certainly be needing to run Linux, I can't imagine a Windows based box having the performance even if it's possible.
If you've only got one ESXi server (And no vSphere), then I'm not sure that a small SAN or expensive NAS is going to give you a huge amount of benefit. If you have vSphere and a couple of servers then I'd say you definitely want it for the benefits of live migration and all that jazz.