I've made a few, as linked to by Paul.
The first ones I did were the ones with the ribbons and I used a similar technique to one demoed at our club several years ago by a turner who I can't remember.
He made the sphere and hollowed it through the hole where the handle fits using small hollowing tools. He drilled holes round the outside as a guide to uniform wall thickness.
I thought the hollowing was just making the job more complex than it needed to be so I made the sphere as I would a box and then glued it to the handle.
I originally put the holes around the outside as a guide to get uniform wall thickness but have since been told by my brother (whose twins received the first rattles) that the holes are a good feature as they give the baby something to focus on and perhaps keep them interested beyond the rattle noise. The wire burns and decorative beads were originally placed to hide how the rattles were put together but I guess that they also are good for provided visual stimulation.
The disadvantage to making the sphere as a box is that the glue join is a potential area of weakness and when the rattle gets dropped the join is subject to shock. Make sure the join is strong and that you use a decent glue. It's more of a problem if you try to keep the grain matching as much as possible by using a small overlap for the join. These days I don't make the join as you would for a box, but use a second piece of wood inside which I can overlap as much as I want. I also make the lower part of the sphere as part of the handle so there's only one glue join (at the centre of the sphere)
When I posted my first attempts on a US forum it was immediately pointed out that they do not meet US safety standards for rattles - the handles can fit down the baby's throat. As far as I can tell (from research online) there are no such restrictions in the UK, but to be on the safe side I now only make them with flared handles. I much prefer the traditional handles though.
For the rattling parts I use small bells from the local craft shop but I did once use lentils - this was for a rattle without holes so I didn't worry about them getting too wet from baby drool!
It goes without saying that you should use a safe timber and a food safe finish - I use a mix of bees wax and carnauba wax and tell the parent that the shine will fade quickly after being stuck in the baby's mouth. Is there an alternative safe finish that would keep it's shine?
The feedback I get from buyers is that the rattles are a big hit. One said that the baby preferred it to all the other (plastic) ones that they had - I guess it's something to do with plastic being cold (?)
One last thought - make a few test ones and when they're done try hitting them against a few different surfaces to check the your construction technique can take some rough handling.
Anyway, good luck.
Duncan