We ordered the piping and connectors from McMaster Carr Supply, and we got the plexiglass from a local plastics supplier (Commercial Plastics in Somerville). They were actually offcuts (ie scrap), so they weren't too expensive.
There were two tricky parts - designing the tube structure so there was enough support for the plexiglass when it bowed and drilling the large-ish diameter holes in the sheets at the corners.
Here are a few more pictures:
