How difficult is it to design your own Wordpress theme?

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I just moved my Wordpress.com blog to a self-hosted blog and am trying to find a decent theme. So far there is nothing that I really like and I am wondering if perhaps it is time to learn how to do this myself. Do any of you design your own themes? Or customize existing ones? How hard is it to do this and where do I learn? :) It is so much easier to just let other people produce, but really sometimes you need to figure things out yourself in order to get what you want. Also, any tips for sticking Adsense into my WP blog? Thanks.