What would it take to create my own Bitcoin exchange?
Setting up and operating an exchange can be quite involved.

A few tiers to start thinking about:  legal, banking, tech+security, and volume.

Legal


The first question is whether you want to operate globally (e.g. Bitfinex or BitStamp) or focus on a national market (e.g. FlowBTC, meXBT).  The next step is to seek legal counsel to help decide where you want to locate and how to incorporate/structure your business.
You want to think about how you can limit your liability and exposure to litigation, as well as what regulatory/compliance requirements are in your jurisdiction, and what they are likely to be in ther near term.
Merkle Tree offers a useful high-level global map of the regulatory landscape.


Banking


What sorts of banking relationships do I need and how can I secure them?
Note that banks can be heistant to provide services to digital currency exchanges.


Tech + Security

You or a partner need to build and maintain complex architecture that pairs orders, executes transactions, and manages deposits and withdrawals.  Major componets are:


Matching engine
Risk management system
Accounting/audit system
Wallet management
Payment gateways


Security is understandably paramount.  Some things to consider:


Sound internal security procedures among your team  - see, e.g.  CryptoCurrency Security Standard (CCSS) (incredibly important, and often overlooked)
Network and hardware security (secure data center, etc.)
KYC (Know Your Customer) + AML (Anti-Money Laundering) solutions
Two-Factor Authentication for users


Volume

Without lots of live volume, all the above is for naught.  It is well worth your time to actively consider all of the below:


Channeling liquidity from large exchanges like Bitfinex to your exchange
Messaging, media presence, brand creation and maintenance, ads and retargeting
User definition (is this a retail exchange, for advanced users?, etc.), and using this to inform UI design and to prioritize features for product differentiation


Hope this is helpful for getting started!  

Disclosure - I work at a firm called AlphaPoint (http://alphapoint.com) - we provide white label tech to many of the largest Bitcoin exchanges in the marketplace, including full stack tech and hosting, as well as order routing for day-one liquidity.