Martha Stewart, my idol, has a great set of directions on how to make your own. They are super simple, and even those who are craft-challenged should be able to do it with a pretty set of tissue paper.
If folding paper really isn't your thing, paper luminaries offer the same burst of color with much less work.
Luna Bazaar has about a million colors and sizes to match virtually any theme, and they have great prices, especially if you buy in bulk. As soon as I set a theme and choose a venue for my wedding (and get a ring), I'm going to go crazy here.