Having lobsters tonight; can I make stock after?
And if you're not partial to eating it, the roe is a nice addition too.
As for how, that's a matter of personal preference, I guess. I sweat some onion, celery (just a bit) and carrot in a neutral oil, add the broken shells, and saute until they're a little bit toasty. Add water to cover, and a bay leaf, and simmer for a couple hours.