These boards from Ali / Ebay / China cost about EUR 2, completely build:
Schematics is extremely simple.
All 4 resistors are placed parallel, with each a switch in series.
As you can see, the resistors are 20Ohm, 10 Ohm, 4.7Ohm and 2.2Ohm.
I also have a drawer with random power resistors scavenged from old equipment and use crocodile clamps on them every now and then to heat them up.
I dislike the aluminimum resistors which are ment to be mounted on a piece of aluminimum to cool them.
These are very sensitive to overheating and get damaged easily.
I like the square white cement resistors. as in the link from not1xor1
https://www.aliexpress.com/wholesale?SearchText=cement+resistorThese are cheap reliable and almost indestructable.
You can also significantly increase their power handling capabilities by bolting them to a piece of aluminimum.
You can also clamp these between 2 aluminum profiles. Drill holes through the profiles between the resistors and make a nice strong sandwitch with some cooling paste. Add more profiles for better cooling.
If you buy bags of the same value, (for example 10 pieces of 1 Ohm) and put them in series with 11 banana jacks, then you can use them as 1, 2, 3, ... 10 Ohm. With extra Banana cords you can then also increase the power handling by shorting the ends of the string and use the ends and the middle as a 5 Ohm resistor. (But I Like Zero999's idea better of using 1, 2, 4, 8 in series).
If you want to build a big box of power resistors, then decide in advance if you want to include a fan and manual switch or a thermostat.
Reserving a bit of space to add a fan later if needed is probably the least you should do.
It can also be usefull to build a single resistor out of a combination of 2 series and 2 parralel. Resistance stays the same, but power handling is quadrupled. This is handy if you find a cheap bag of 20 resisors with the same value.
If you build one of these with 1 Ohm resistros and another with 10 Ohm resistors, then you're already covered over 3 decades of resistance.
Make some basic calculations of the power requirements of your resistors. Once you get over a few Kohm it becomes unlikely you'll need high power resistors, while a 1 Ohm 50W resistor easily gets overheated.
Mike'sElectricStuf simply uses enamaled copper wire which he dumps in a bucket of water as a load restance. Very good Idea for when you need a 1kW resistor for occasional use. for more frequent use you can use heating elements for warming glasses of liquid. Or heating elements from washing machines or other equipment such as frying pans.
If you want to callibrate power resistors you can use regular 5% tolerance resistors and take 1 value in E12 higher and then put another in parallel.
For example, you need a 1 Ohm resistor, so take 1.2 Ohm. and put a resistor of around 6Ohm (6.
parralell to it to bring it down to 1Ohm again.
The idea is to always keep the resulting resistance just above 1Ohm. The extra resistors carry a low current and do not need to handle much power. Low restances are of course easily measured with a high current source and 2 DMM's.