It's really easy to set up. Take a few Pi's, add a small switch (get one that takes 5V). Connect them up, and use a single larger power brick that can power all Pis and the switch. Either make some kind of enclosure, or - as I did - rack them up with spacers, drill holes in the switch lid and mount the rack of PI's to it.
One wrinkle is that you probably want to keep the switch only for the internal network. I use a USB-Ethernet dongle on the login node for external communication. it's just as fast as the on-board Ethernet in practice (it's internally treated as a USB device anyhow), and you can set up the login node to act as router and gateway to the other nodes.
Then you can install and play with whatever cluster-related software you like: Slurm, OpenMPI, Ansible, GNU Modules, XscalableMP, ZeroMQ and so on.