Saw this recipe for Caesar Salad Dressing on Food 911 and tried it and it was excellent:
4 Anchovy Fillets Juice of 2 Lemons 1 Tablespoon Water I clove garlic 1/2 Cup Olive Oil 1/2 Cup Grated Parmesan Cheese Salt/Pepper
Combine the first 4 ingredients in a blender. Then add in the olive oil, followed by the cheese, salt and pepper and continue blending till smooth and thick. I also added a splash of Worsterchire sauce to mine. Came out tasting way better than anything from a bottle.