Major ingredients of cannoli filling are ricotta cheese and powdered sugar and whatever flavorings you like... my neighbor used to use a little amaretto and lemon zest in hers most often, but occasionally chopped chocolate curls and orange zest. The powdered sugar is "to taste" -- Mrs. L. used about 1/4 c powdered sugar to a pound of ricotta, about 2 Tbsp of amaretto, and the zest of half a lemon. When she used chocolate, she used bittersweet chocolate and reduced the amount of sugar. Filling was done with a pastry bag.
The hitch is whether or not you can get good ricotta -- the real stuff is goat and sheep's milk, and is very dry. If you use supermarket ricotta, you need to put it in a colander lined with a dishtowel overnight, and let the whey drain off. I've been known to mix in a little full-fat yoghurt into the ricotta before draining, for a bit more tang... maybe 1/4 c yoghurt to a pound of ricotta.
The cannoli "straws" are not difficult to make and are really pretty cheap, but do require deep frying. If you're interested, I can try to find the recipe a friend and I came up with for non-fried cannoli -- we basically took a fortune cookie recipe, added cocoa and cinnamon, and sagged the baked wafers over beer bottle tops to make a shallow dish. After our "dishes" cooled, we spooned a blob of filling and dusted it with a little chopped pistachio or chocolate or cinnamon. Same basic flavor, different shape, easier to produce en masse.