You guys, you guys, you can make marshmallows at home! In this video from America's Test Kitchen, senior editor Louise Emerick shows you how it's done. In short: you need a mixer, several forms of sugar, and some speed.
Warning: Video may cause you to require marshmallows immediately.
For a slightly different approach, check out this video from CHOW. My favorite part is the tip about cutting the marshmallows with a pizza cutter: