Rob
Currently I am making a set from some kind of bamboo given to me by Youngbowyer2.  I am sure he will chime in with where he got them.  Someplace in Fla I think - - some crazy ridiculous low price for 500 sticks, I think.  Most spine kinda high, so some judicious sanding was / will be in order.   
That said, I usually make them from wood boards.  Poplar, ash and pine are my most frequent woods used, although maple and cedar are great as well.  From boards to 3/8 square sticks, to rounds sticks, then to burnished shafts, then they get footed, if I am doing footings (which is not often as it is so time consuming, but they do look great.)  Shhhh!!!!  Dont tell anybody, but I am going to give a hip quiver and 6 footed arrows for the Xmas trade - so I will have to foot some more shafts soon enough.     BTW, Do you know what spine and arrow length XXXXXX shoots?  
I don't use the plane down method except for the footings.  I use the veritas doweler (the cheap one) and burnish with some hard wood scraps (red oak or hick as it is always laying around).  I use an old drill and socket set to spin the shafts like a lathe.  If making thousands of shafts, this is probably not the best method, but it works well for me.  When I make shafts, I usually make about 4 dozen at a time and end up culling about half.  
I have never made arrows from shoots, although it is on my list of things to do.  I am really enjoying working the bamboo shafts, but they are way more time consuming.  Only time will tell if I like them better, but from others on this site, I think I will like them just fine.  
Russ