The key to this project is use what you already have because it will help keep expenses in check.  For my beer cave I started by reappropriating a section of garage shelving. As you can see, the beer cave frame and two of four beer cave walls have already been built for me. 
Before
After
First step is to get everything out of the way.  From here we squared up the unit and used a couple of screws to hold it in place so it wouldn't shift on us.  Then we  located the studs in the back wall and drove 4" screws into them to secure the shelving unit to the wall.  There are 3 screws in each shelf bottom for a total of nine. 
After the shelving unit was secured we started insulating the back and the side walls with an additional two inches styrofoam insulation.  We cut it on the long side of the measurements and stuffed it into back spaces against the garage wall. If you cut the styrofoam just the right size you may have to use glue to keep the styrofoam in place. The very top shelf bottom was also insulated.  The left hand wall was just shy of 2" from the wall so the styrofoam fit in there nice and snug.  All in all we got really lucky that we didn't have to fuss around with any glue or fasteners.

The stars really did align for this project.  We found a custom sliding door that had been returned to Home Depot that was the exact height we needed AND we got it for cheap! However, we did have to build a door jam to center and anchor the sliding door into position. This was the most difficult part of the project and something I couldn't have done on my own. I thought a head, though, and waited until my talented carpenter dad was visiting so he could build the door jam for me.


The total out-of-pocket for this project was just over $200. The key to keeping it that cheap is use what you have already and enlist your carpenter family or friends to help you.
At some point I will build (and by I, I mean my Dad) some extra shelving to divide up the top two shelves and provide extra storage space.  I am also thinking of putting under-shelf baskets in the space above the kegs.  This will be a great place for me to keep my beer books and bar rags.