Shower niches can be purchased prefabricated & installed into the rough framing prior to tiling:
http://www.noblecompany.com/Products/ShowerProductsfromNobleCompany/tabid/59/Default.aspx
You can also build the shower niches into the rough framing, then cut & plaster with cement board to spec. After, install a waterproof system in your shower like Schluter membrane prior to tiling.

A niche can be installed during the rough framing stage of construction. The orange waterproofing membrane is seals the entire surface. See pictures of niche installation, waterproofing and finish.

There's a pre-fab niche underneath the tile.
If properly installed, there is no problem with leaks.
:) Rhoda http://www.billfryconstruction.com/