Most general forging hammers are simplest to buy. The ones you want to make are the ones you pay a lot for, or the ones you will rarely use, but would love to have one.
Making hammers from 4140 is not uncommon. Cutting down a small sledge and reshaping it is also common. The best hammers to make are specialty hammers. Make a Hofi clone, a Japanese Dogs-head hammer, and hammers for dedicated drawing of billets. Other fun hammers to make are ones with textured faces that leave a pattern on the steel. These are used to make a rough pattern on the upper bevel of some knife styles.
Other hammers that are fun to make are things like taking a ball peen hammer ab=nd forging the ball out into a long cone to be used as a punching and drifting hammer.
If you want to make hammers, buy a set of ductile iron drifts off ebay or from a blacksmith supplier (same, but more expensive).
Be advised that once you start making hammers and tools, you will need to make a good tool and hammer rack from angle iron and steel bars. Make the base wide and sturdy and put good quality 6" to 8" wheels on it. Just stuffing them in a bucket isn't that good of a system, and having a rolling rack with all your tools displayed and available is more professional and efficient. I have one drawn up to weld together for the new shop. I will look for the drawings and post a photo if I get a chance t his weekend. It has a flip down handle that allows pulling it around like a wagon.