If you just want to play around or test your apps then bitcoin-core's regtest mode might be what you're looking for.

Developer examples on regtest mode: https://bitcoin.org/en/developer-examples#regtest-mode

A tutorial to get you started: https://geraldkaszuba.com/creating-your-own-experimental-bitcoin-network/

If you want to fork bitcoin and create your own altcoin this guide can be useful: https://bitcointalk.org/index.php?topic=225690.0