In some of Neal Asher's books there is mention of a Dyson Sphere being constructed.

If you want to have a go of making one yourself, there is Dyson Sphere Program.

EDIT: "Bowl of Heaven" is another "not exactly a Dyson Sphere" novel, it takes place on a structure that is half a Dyson Sphere. Co-written by Gary Benford and Larry Niven. (author of "Ringworld")