For an outdoor wedding, or for a wedding when it's hot out (my friend's is in July), check out these programs printed on fans.
Both types of programs are easy to customize online, or you could find a local printing shop to create them for you without busting your budget.
And here's a simple but great idea - a long rectangular program, like this one.
With a little effort and the right tools - like cardstock, a paper-cutter, and a printer - you could definitely create these on your own. Best of all, it's easy to jazz up a program like this. Just punch 2 small holes at the top and tie a ribbon through, or mount the program on another piece of cardstock to add some dimension.
Bi-folds, if they contain more than just one sheet of paper, can be bound together with ribbon so you don't have to mess with staples. Tri-folds just have to be folded carefully into three sections.
If designing your own wedding program seems daunting, just start searching the web for pictures and templates. There are tons of ideas out there - you just have to find the one that fits you.