Wire Cages are the housing of choice for rats and larger animals and are pretty much self-explanatory. You need to be careful of three things in a selection of a cage. First, make sure the grate is small enough for the animals you are keeping. Second, many cages come with wire floors and these can irritate the feet of some rodents. Finally, if the cage has a plastic floor pan, make sure there are no exposed edges that would allow a gnawing animal to get a start on his or her way out.
Cages have greater air flow, which is good for the animals.
This also means that you will smell the cage a bit more because the odor can escape, but that the smell won't be as concentrated. Tanks generally smell less, but if you stick your snout in, you often figure out they're are much more in need of cleaning than you thought. Building a cage is another matter entirely. If you have a basic wood or metal shop you can easily and very cheaply build a nice cage. A sheet metal floor is prefered because wood will soak up urine.