"From the low six figures to the tens of millions, you can purchase your own private island and start from scratch. After you've got the island's facilities (electricity, safe drinking water, etc.) squared away, you're ready to build your nation. But remember, your island will still be under the jurisdiction of the country it belongs to and subject to its laws. One man, Las Vegas millionaire Michael Olivier, learned that the hard way.

In the 1970s, Olivier built a South Pacific island. He named it the Republic of Minerva and claimed it sovereign from its proprietary, the Kingdom of Tonga. The King of Tonga was none too pleased. He sent a group of soldiers to squash Oliver's pursuit. They took down the "Republic's" flag and claimed the island Tongan, while a four-piece band played the Tongan national anthem."

From Yahoo: I want to establish my own country. Is there any unclaimed land?