One is an effort from Academia Sinica in Taiwan, described in detail on Instructables.com, using movements from DVD players. When a project can borrow a mass-market part like this, the result is often surprisingly affordable.
Another project from the Lego2Nano folks in London involves Lego bricks.
Another project from the University of Rhode Island is a Lego model illustrating the mechanical principles of probe microscopy. As far as I can determine this project is not a real microscope.
A company in Luxembourg is selling a Lego SPM kit for 2950 euros. It's possible this is a commercialized version of the Lego2Nano microscope.
Some more advanced efforts include this instructional probe microscope designed at the MIT Media Lab, and this PhD thesis from McGill University in Montreal.