You can make your own Victorian dress for a living history event, play, Victorian tea or dance. The Victorian era lasted from before the American Civil War and into the bustle-dress era, so there are many different styles of Victorian dresses. Patterns are available for everything from simple costumes to carefully documented copies of authentic dresses.
Purchase a pattern. Patterns can range from quick Halloween-style costumes with hidden velcro and zippers, to carefully documented instructions for making a dress just like an original. If you want something close to an authentic dress, check to see if the pattern mentions an original dress that it's based on, or has other historical notes explaining construction techniques. It's also helpful to look at historic photographs online of real people from the era you're interested in, and compare the dress you're planning to make, to what they were wearing.
Plan your underwear, and make or purchase what's needed. A Victorian dress may need hoops, a bustle, or petticoats to look right, depending on what part of the Victorian era it's from, and drawers, a corset and a chemise will add to the look and practicality. The dress will fit better if you do the final fitting over the undergarments you'll be wearing.
Using the pattern, make a trial dress out of the cheapest fabric you can find, such as dollar-a-yard muslin, to make sure it fits and you understand how it's assembled. You can sew, rip out, and refit, without wasting expensive cloth, until it's just the way you want.
If you run into problems or have questions, seek out answers from one of the many historic costuming forums online, like http://thesewingacademy.org/ (mostly early Victorian and Civil War), or http://forums.sensibility.com/index.php or http://www.trulyvictorian.netfirms.com/testboard/phpBB2/index.php. You can search google for others. Some focus more on reproducing authentic clothes, while others are more about getting the superficial look of an era without worrying about the details.
After you're satisfied with your muslin test, purchase fabric for the final dress! A good historic pattern will tell what the original dress was made from or suggest typical fabrics. If authenticity matters, you'll want all natural fibers, silk or cotton or wool, and a fabric that matches the style of the dress. A fancy dress wouldn't have been made of cheap cotton, and an every-day work dress wouldn't have been made of silk.
Quilting shops carry reproduction cotton prints, but different styles were typical of different eras, so if authenticity matters, see if the fabric company has information about the date of the fabric. If you want an authentic dress but money is tight, look for online bargains at specialty fabric stores or eBay. Silk taffeta or lightweight wool suiting can sometimes be purchased for under $10 a yard. Don't forget other things you may need, like boning, hooks and eyes, buttons or trim.
Cut out the pieces and assemble the dress, making adjustments to the fit based on the muslin test-pattern you made. If you want an authentic dress, some of the steps may be different than you're used to, such as the way the lining is put in or the way the raw edges are finished. A less accurate pattern will substitute modern techniques, but a more accurate pattern will help explain the steps.
When your dress is done, you can add the little finishing touches that will make you look as if you stepped out of a time machine: a white collar and cuffs, jewelry, a period hairstyle, a bonnet, period-style shoes or gloves.