The task involves locating the position of wall studs in the area where you want a shelf, then removing the drywall and portions of wall studs in the area. This option will give you fairly shallow shelves that are perfect for most kinds of collectibles. The space under most beds represents unused or frustratingly-disorganized storage space. There are better ways to do it. One option is to buy a few large, flat, covered plastic storage containers, the kind you can get at any hardware store.
Shallow ones can easily fit under most beds and their lids keep the dust bunnies out.
For a more refined approach, consider having some under-bed plywood boxes built. These can be equipped with casters and handy grab-knobs, and made to completely fill your particular space. Steven Maxwell is Technical Editor of Canadian Workshop Magazine. Inside will be plans on how to build this great garden arbor. It's a great addition to any yard and one that's very simple to build.