There are all kind of different materials you could use to make this so use your imagination. I used an embroidery hoop, a doily, yarn, lace, pendents, feathers, and seashells, which I found all at Joanne's craft store. The first thing I actually did was dip feathers in a gold metallic paint and laid them out to dry.
Then I started on the actually dreamcatcher itself by attaching the doily to my hoop. Looking back, I could have probably done it in zigzags to give it more of a dreamcatcher look, but this is how I did it:
Then I took my strips of lace and yarn and attached it to the bottom so it would look cleaner in the end.
Then I simply wrapped the entire hoop with yarn.
Now you can decorate it however you want! I added two more hanging strands to the bottom. I wanted a variety of things hanging so I braided strands of yarn. Then I hot glued seashells and starfish to my strips of lace and tied little bottles and feathers to the single strands of yarn.
I also sewed bird pendants to my doily like this:
This is just how mine turned out, but you could really attach all kinds of things to your dreamcatcher to make it your own.