Pacific Fabrics has a lingerie class coming up in about a month at their store in Everett.

http://www.pacificfabrics.com/shop/product/ooh-la-la-lingerie/

I haven't taken a class from this instructor, but the classes that I've taken from Pacific Fabrics in the past have been informative and well-done.

For this sort of sewing, you'll need to have solid garment-construction skills. If you've never sewn before, this is NOT the place to start. I would start with a few basic sewing classes - skirt, pajama pants, etc, and then doing some sewing on your own before you attempt lingerie sewing. The nice thing about doing it yourself is that you can pick nice fabrics - silk rather than the polyester crap they sell at Victoria's Secret, etc - and you can make sure that it fits the way you want it to rather than settling for ready-made stuff.

In my experience, sewing my own clothing (and clothing for my daughter) is not cheaper than buying clothing in stores, especially when you consider the time you have to spend doing it. It might start to come close to parity or economy if you're sewing REALLY high-end, couture-level stuff that would be astronomically expensive to purchase. It takes time and effort to develop those skills, too, so my recommendation would be to pursue sewing only if the activity itself is something that you think you will enjoy and are interested in. If you're just trying to save money, this is probably not the best way to do it.