You see the Death Star being built in Revenge of the Sith, but only from a distance. You see the second Death Star under construction during Return of the Jedi, but you don't actually see it being constructed. There's no extended footage of imperial workers swinging space hammers, popping galactic rivets or doubling their efforts.
The image above, though, by Stephen Chang, shows how you might actually go about building something so big space smugglers would think it's a moon.
Chang, who works at game developers Lucasarts, did that pic and those below for the Force Unleashed games, which take place between the two film trilogies.
You can see more of his great art at Chang's personal site.
To see the larger pics in all their glory (or so you can save them as wallpaper), right-click on them below and select "open in new tab".