I just began working on my own INS/IMU over the past couple weeks. I've made pretty good progress so far. I'm using the newer Sparkfun 6DOF IMU board with an Arduino. I've opted to use a complementary filter, which so far look promising.
I've also made my own stand-alone attitude indicator display program, which is downloadable from my site. I've posted my progress thus far here: http://www.nuclearprojects.com/ins
Here's a screen-shot of my display program:
And here's a quick video I shot the other day:
I've still got a lot of work to do, but for being only 2 weeks in, not too bad. :-)
See the rest on my site: http://www.nuclearprojects.com/ins