How much do you want to spend? Twin wall polycarb is the state of the art but they can be made from just about anything. I made mine from 2x4s and some old patio storm doors I saved from a remodel. You can use twin wall polypropylene (coroplast), old window, heavy clear plastic, etc. You just need to be able to vent it so it doesn't get too warm on sunny days.
I went down to our local plastics outlet and asked for the biggest leftover piece of Twin-Wall Polycarb they had. It was about 2 ft by 3ft... I cannot remember what I paid for it. Built a wood frame, hinged the twin-wall on top and it worked great.
The problem was with me. I leave early in the morning when it was often too cold to open. If I was good I would put a few rocks under the lid and hope it did not get really warm and sunny that day. Then I had to remember to take the rocks out that night.
Usually, I would either forget to prop it open during the day or close it at night. Either I burnt the plants or I froze them.
I think someone needs to be home during the day to monitor the cold frame. Maybe it will work after I retire........... Then again, my short term memory is fading as just fast as I'm aging.
Edit: Back in the hoosierland now but spent 17 adult years in the Ithaca area.
Usually cold frames sit on top of a garden bed in a sunny spot. Its to warm up the soil 2 - 3 weeks earlier than nature would and protect young plants from frost. What you use to build it is up to you. Mine is a simple 2x4 frame with scrap lumber sides. Don't use pressure treated lumber for anything edible. Insulation may help a bit but is probably unnecessary. The three most important things to keep in mind for constructing a cold frame is 1) angle you windows towards the south to catch the most sun, 2) allow for venting and watering, and 3) build your cold frame tall enough for your plants.