I'm always buying battery cables and tired of paying too much for something I can do myself, and it's great to have an excuse to buy more tools. For the skinny on what to do/what to use, the powerboating folks are a great source of knowledge. My input:
FTX crimpers are the best for the money, but they're about $150. Hammer crimpers can be had for $20 on Amazon, but it's not as good of a crimp. I have both.
Best lugs are supposed to be FTZ Power Lugs. I have some 2/0 lugs for a 3/8 post in the mail; need to re-do terminals on my 1999 Super Duty 7.3.
Ancor tinned copper wire is supposed to be the best.
Use military terminals. I bought some on eBay.
Use high quality adhesive lined shrink wrap.