You could ferment your own alcohol by simply leaving fruit juice on the counter overnight (pretty sure the result won't be pleasant), but distillation is used to isolate the alcohol to get a product of higher purity or proof. Moonshine is an example of an historically significant distilled spirit. Even though Prohibition is in the past, it's still illegal to make moonshine in the United States.
Aside from reasons relating to politics and money, there are safety concerns with making your own 'shine. One is the possibility of the still exploding from a buildup of internal pressure. Otherwise, there is the possibility of poisoning yourself with volatile oils or other contaminants by not discarding them during the distillation process or by not maintaining careful temperature control. The most prevalent health problem is contamination of the moonshine with high levels of lead. Laboratory glassware tends not to be something the average Bootlegger possesses, which means he or she will probably use metal components. Welding metal parts or using inappropriate materials (like car radiators) can lead to the leaching of lead into the distillate. It's possible to filter the lead out, but many people are unaware of the hazard.