I noticed these when I was buying my window hardware the other day. Although still expensive, this is a pretty insane price for this bed/headboard:

http://www.tuesdaymorning.com/linen-wing-bed-or-headboard/1176125.jsp

http://www.tuesdaymorning.com/chocolate-leather-wing-bed-or-headboard/1176177.jsp

I suppose upholstery costs due to the amount of hands on time. No machines-just people. DH has made two but none with wings. The round and rectangle were very DIY friendly. He attached both to the bed frame the way any headboard would be mounted. One could mount it on the wall, however. It will depend on your be frame.

I made upholstered headboards and attached them to the wall using french cleats. Surprisingly, they hold very snug (a worry since they are on the beds of a 3 year old and 5 year old).

Here is a link that might be useful: Cleat

I love them. They are great to pile pillows against for reading (we don't have a television in the bedroom), and they are not at all hard to make. I have nixed wings, because the pillows don't fall off, and the wings would interfere with the light on my book.

We've had big tall ones with elaborate shapes, and plain simple ones (at present ours is a simple rectangle covered in gray linen with a tailored, cream bordered bedskirt to match ), and ones with wood frames, and I've been very happy with them all.

They aren't hard to make yourself. French cleats are a great device for attaching them securely to the wall.

I love my upholstered bed. It very comfortable for reading or surfing on the ipad. There are no wings and we have never had any issues with pillows falling off. Ours is pretty tall. I'm would think you would want it tall enough to support your head while sitting up.

I have been thinking about getting one for the guest room too. The one we have is from Ethan allen and was quite pricey, but West elm has one that I like and they have a great selection of fabrics.

Here is a link that might be useful: West elm tall headboard.

Any "how to make" tips? We saw the westelm ones and found them too tall. Our bed is simple (tempurpedic on a slat platform) and we are not very tall people.

Good point about the wing interfering with the light. I had not considered that.

I made one, we love it. I think I pretty much followed this tutorial, but there are lots of tutorials out there and I read a few before I found one that really made sense to me and what I wanted.
While we do love our headboard, in retrospect the fabric I used was too heavy weight. I may re-do it this summer with something lighter.

Here is a link that might be useful: Tufted Heaadboard

https://www.onekingslane.com/sales/18454

localeater - that is one incredible headboard.. Wow.. Did you use a plain or a printed fabric?

GWlolo-I used Waverly Akira fabric in Coconut which I got off Craigslist. It is a solid, but it is a nubbly weave, it is a creamy white but has tonalities of green and a bit of sheen.
My headboard did not come out as well as the author of the tutorial- but I learned a lot. I didn't put in enough buttons for the tufting to really get the look I wanted. This summer, I will undo the staples on the back and add another layer of foam and more buttons. If I decide to go with a lighter fabric, my original fabric won't go to waste because both my sons now want an upholstered headboard and since it is a neutral it can work for them too.
Things I learned: foam is expensive, it is cheaper to get foam mattress topper than craft foam. shop around.
If you want nailhead trim it comes in these cool strips and you only have to nail in every fifth one.
The headboards on OneKingsLane that Kevin posted are a great value. Unless you can reuse materials and have access to cheap fabric, you could spend that much on a DIY project. I actually did the project with my husband and it was fun so that had value for me. Plus I will use the skills on additional projects and that has value too. It is definitely a quick project.

local eater, can you show us yours ? I looked at the instructions and they are very detailed and clear but it does seem like a lot of work !! really nice !!

We have an upholstered headboard -- it was i think $500 from Pottery Barn. I chose it because it was slipcovered. I wanted a light duck color and I would only want one that can be washed. We love it.

BTW, just saying, sleep experts and (relationship experts) agree that you should only use beds for sleeping, and certain non-sleeping activities. I like reading a book --- helps me fall sleep. But they say surfing the net in bed is bad for your eyes and for sleep patterns. I try not to do it anymore, fwiw! We have made the MBR a tech-free zone.