I've seen a billion ways that you can do this, but my favorite ways are the ones I've come up with on my own.

In the picture: The darker quill is a real bird feather (a vulture I think.) The white one is a craft feather and ribbon.

You can make a pen out of either a real feather or the fake costume feathers you can buy at any craft store, or wal-mart.

what you'll need

Bird Feather***
ball-point pen
or
A large costume feather (from a craft store)
a ball point pen
hot glue OR super glue OR tape(duct or scotch)
ribbon or cloth
tooth-picks.
*** If you want a real feather, and dont have one, look in your back yard during the spring and fall monthes, or go to a local pet shop and ask if they have feather clippings for large birds.

HOW TO
If you have a real feather:
Its easy, all bird feathers are naturally hollow, so all you have to do is pull the ink tube from the pen by unwinding the cap. Remove all springs or pieces until nothing is left but the ink tube, still attached to the ball point
Slide the tube into the hollow feather, clip the end of the pen if you need to make it shorter.
Put super glue on the side of the pen if you think it necissary.

Fake Feather:
This one is harder, but pretty if its done right.
Use the larger feathers to make the process easier.
take apart your ball point pen until nothing is left but the ink tube (still attached to the ball point)
Costume feathers arent hollow, so the pen wont just slide into it. clip the stem of the feather until its short enough to give the pen a desirable length (hint: before cutting the stem, hold the ink tube next to the feather stem and move it up and down until you get a comfortable size, then mark the area and cut.)
Once thats done, you'll need the toothpicks.cut off the points. Glue them around the ink tube. This will create stability, so you can use the pen without fear of breaking it. Glue them all the way around the ink tube, stopping about half in inch from the top of the tube, and a quarter of an inch from the bottom(we're the tip of the pen is.
Now you can assemble the actual quill.
Put glue around the edge of the top of the tube, just the edges, not the inner part of the tube, or the outside, just the rim around the top.Also put glue on the base of the feather. Put the two pieces together. Allow the glue to dry.
Looks ugly doesnt it?
Now you use your ribbon or cloth to wrap around the toothpick coverd pen. Decorate it how you would like. Glue bows onto it, its doesnt matter! This is the free-thinking part!