You can turn just about any coin into a ring. It is especially interesting to do this with a pre-1965 U.S. coin like a quarter or half dollar, because these coins are 90% silver. The following video gives you a quick 3-minute introduction to the process of turning a coin into a ring using a hammer and a drill:
As the video mentions, you can find pre-1965 coins at coin shops as well as flea markets, antique stores, or ask a grandparent - grandparents often have a stash of old coins.
If you would like a video that goes into a little more detail on the hammer-and-drill method, the following video shows how to use a common barbell as an anvil and a normal file for smoothing:
If you look on Google or YouTube, you can find people advertising coin rings that preserve the date or some of the words of the original coin. How do they do that? The answer lies in using a punch to take out the center of the coin and a soft hammer, as shown below:
Notice how she softens the metal with a torch ahead of time. The advantage of the punch technique she demonstrates is that you can keep the silver from the center of the coin and sell it. Silver is worth about $40 per ounce right now.