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Frenzy writes –

Zines are self-published materials with short print runs. Zines can be about anything from your favorite band to what you did on your summer vacation. The world of zine making is a largely underground. Zines are a perfect way to express ideas or feelings that are not fit for the main stream due to their personal content or unpopular ideas. Zines are the fastest way for writers and artists to produce self published works. This guide seeks to give aspiring zinesters not only tips to produce their first zine but gives some background on zine culture and how to get their zines out into the world

This Instructable has a nice video, instructions, and examples for creating your own zine.