I obtained four Sanke-type kegs. How to do this is left as an exercise for the reader. Try to do it legally, though. There are several sources for kegs, though, if you're not creative or happen to not live near a university. Some LHBS sell old Sanke-type kegs that are retrofitted to be used for brewing.
Anyways, here's how I did my kegs:
Make SURE you depressurize the keg before drilling or cutting for the first time -- this is the easiest part of the whole cutting problem! All you have to do is cover the tap socket with a towel and push down on the ball (through the towel) with the butt of a screwdriver or similar object. Make sure you cover the socket or you'll get a mouthful of old, stale, gross ex-beer. My first attempt at cutting through the top of a keg was done using a cold chisel. Basically, what I did was draw a circle on the top about 11 in. in diameter, drilled a hole on the circle, and then I began pounding with the hammer and chisel (actually, a co-worker at the time did most of the work). This is very hard on the ears and due to it being the most crude form of cutting metal, is rather difficult (although staying on the line was quite simple). This resulted in a fairly circular, albeit beat up looking hole in the top. This keg is now my boil kettle.
The second attempt (for the lauter-tun) was a bit more fruitful. Well, after an initial mistake, that is... I started out with the "drill many holes with a quarter inch drill and then pound the $&!% out of it until the top falls off" routine, but that was pretty nasty. This technique involves drilling holes along a circular path, using a quarter inch or so drill bit (mine was a cobalt something-or-other high speed drill bit) at about 1/2 to 1 centimeters apart, and then using a cold chisel to cut the remaining regions to knock the top off. There were many, many jagged edges after that, and grinding those down was too much of a chore! So, while I and a co-worker were in the machine shop (drilling other holes), we decided to try to mount the keg on an old super-heavy-duty WWII-era lathe and re-cut the top out. Fortunately, I had made the original hole small (about 9 inches in diameter), and was able to get a good cut on the keg. Note that on the first attempt, the cutting tool got caught on one of the edges from the holes, and knocked the keg off of the lathe! But, we tried it again and ended up getting a perfect circle. The trick here is to use lots and I mean LOTS of cutting oil and turning very slowly (around 10 rpm). Cutting the top out this way is NOT the safest way to do this chore, and I STRONGLY recommend against it. However, if you were to take the keg to a machinist and have them do it, you'll get a very nice, very circular hole. The hot liquor tank and the primary fermenter were also cut this same way.
I use Swagelok 1/2" SS bulkhead fittings for some holes instead of welding the kegs. These SS fittings are somewhat expensive (>$20 a pop). To attach these fittings to the kegs, I needed to drill 47/64" holes for the 1/2" fittings. Using a hand drill was fine until I got to sizes over 1/2". At this point is was necessary to put the whole thing under a drill press. Actually, I used a milling machine, since the drilling speed needs to be very slow. Plus, I couldn't find a vice large enough (as if drinking this much isn't a large enough vice.....guh-faw guh-faw) to fit under the drill press.
Other holes (e.g., for the electrical heater elements, thermowells, etc) have half-couplings welded on. This was accomplished with a TIG welder that we have in the machine shop at work. One of the handymen used to work in the ship yards and is quite proficient with a TIG welder. Prior to welding the half-coupling for the electrical elements, I had to cut the hole. This was done using a bi-metal hole saw on my drill, cutting very slowly, and using a lot of cutting fluid. I used up three of these hole saws to cut out the holes in two kegs that would use the electrical elements (i.e., the boil kettle and the HLT).