It all depends on how much time and money you are willing to invest in it, usually trading time for money. This can range from setting up hardware and software for a server from scratch using old PC components that you're upgrading from on your main PC to buying a hardware/software device that already does everything (and you only need to get drives and put them in).

Since I had some hardware around from an older PC upgrade and I'm generally curious and experienced with hardware and software configuration I rolled my own for now.

Whichever route you go, don't forget to use something like Plex to organize your audio/video collection and access it from a multitude of devices. It's like your very own personal Netflix.