My first successful water rocket used a trailing ring fin, rather than more conventional rocket fins. This is so easy to build and works so well I have not bother with any other system. The struts are IC carrier tubes (used to package IC - integrated circuits - for the electronics industry).
The tail fin is held to the struts using cable ties. This is necessary if you don't want your rocket to fall apart at liftoff! Holes are easily made using a soldering iron.
Recently I have moved to Australia and lost my source of IC tubes. Suitable alternatives have been found in skewers (they are a bit short) or the sticks used for party balloons. Good vinyl tape seems to be good enough to hold these in place.
The nozzle is a standard garden hose fitting. I usually just glue this in place - the bottle needs a bit of heating with a hot air gun first. Then I use epoxy glue to glue the hose fitting in place, and add a few screws for strength.
Screw on nozzles can also be made by cutting up a hose nozzle and holding it in place with a bottle cap.
One of the few special tools I have is a step-drill to allow me to drill large holes such as in the cap - however a normal drill and some filing works as well!
Recently I found a new hose fitting in the store which has the nozzel unscrew from the fitting. This makes the job a bit easier - reduce the fitting to just the 'nut' part, and screw onto a bottle cap. I found a couple of brands of these fittings, the only difference being the colour. The photo shows a green fitting, and the completed nozzel made with a grey one.