Alcove shelves are probably the quickest and easiest shelf to make. There are also lots of finishing options and they can be made out of several different materials like MDF, Oak and Pine for example.
The easiest way to build this type of shelf is to fix three battens, one on each wall for the shelf to sit on. I always fit the back batten to the wall first, using a spirit level to make sure it is level. If the alcove is too narrow for your level then measure up from the floor or down from the ceiling, but just be aware that if the floor or ceiling are out of level the shelves will be too! This is the same method I use for making floating shelves in an alcove.
The pictures below are of some oak veneered MDF shelves I built for a customer in an alcove. I fixed oak quadrant round the walls keeping the side ones a bit shorter than the depth the shelves would be so that they were less visible. Once installed, I pinned an oak D mould across the front edge to cover the cut MDF and finish them off, ready to varnish or stain.
This is the order I would attack alcove shelves like this in;
Cut and fix a batten to the back wall at the height you want the shelf. For this you can use doorstop, architrave or almost any type of timber you want. Before you fix to the wall, make sure there are no sockets under/above where you are drilling and use a stud/cable locator if you are unsure. Use red plugs and screws if fixing to masonry or plasterboard fixings for cavity walls.
Using the same material as before cut two battens for the sides. I keep these back from the front edge of the shelf and cut a slight angle on the front edge too, like in this picture;
Cut the alcove shelf. I make most shelves of this type out of MDF. Alcoves are often out of square so I take a measurement at each of the four sides. I also use a large roofing square to check which of the back corners are 90° and always start my setting out from a perfectly square corner. If each corner is out of square, use a bevel to find the angle of one corner and start setting out on the sheet material form there. When a shelf needs to be badly out of square I always leave the lines in slightly when I cut it, that way I can put it in place and scribe it in, using an electric plane to finely fit it into the opening.
The front edge of the shelf doesn't need to be left square, you can jazz it up a bit. If you have a router you can use it with a round over cutter or an s shaped cutter to put a fancy edge on it. Alternatively buy a decorative bead to glue and pin to the front edge. I normally use a decorative bead which is slightly thicker than the MDF I use. I simply keep the top edge flush and let the bottom hang down. I fix it with plenty of wood glue and use veneer or panel pins. It also has the added benefit of strengthening the front edge of the shelf preventing it from bowing down.
It is not always necessary to fix the alcove shelves in place as the weight of what is going on there will often be enough to stop it moving anywhere. Decorators often want to take it out to paint it as well. If you do want to fix it, either drill pilot holes, countersink and screw about 100mm (4") in from the back corners or pin using a finish nail-gun.
Have a question or comment about alcove shelves?