ATI & 3DFX have both played with what you are suggesting. The now infamous Voodoo2 with SLI was the better technology of the 2.
Remember the ATI Rage Fury Maxx? A 64 MB, 2 GPU video card that rendered alternating frames? When it was first released, it was insanely expensive and utilized the underpowered Rage 128 GPU (or quite possibly the Rage Pro Turbo), making it one of the most short lived ATI products ever created.
In order to create a "home made" SLI interface, you would have to make the following modifications to your system:
1) Create a dedicated, multiplexed transfer pathway for data to be shared between each GPU & onboard memory. With the AGP 3.0 specification, 32 signalling lines are used for each video card (24 if you don't utilize Side Band Addressing).
2) If you created your multiplexed transfer pathway to utilize the same number of signalling lines as AGP, you would have no problem interfacing with the system core logic's AGP controller as long as the controller was designed to be able to handle the amount of data being shunted to it.
3) You would have to write a device driver for the hardware to correctly function. The easiest approach to this would be to get your linked video cards to render opposite frames, essentially reducing the amount of work each video card must perform on the scene by a factor determined by the number of video cards you have.
Eg, 4 video cards, rendering alternating frames, would reduce the load on each video card to a total of 25% of the original load.
4) Finally, you would have to find a way to interlink all of the video card monitor outputs and reduce them to 1 output to interface with the monitor. As well, you would have to find a way for the video cards to output the frames rendered in the correct order. If not, you risk the problem of having frames being displayed that were rendered BEFORE the one on the screen, making it quite difficult to play games (or even utilize the computer)

.
If you do manage to get any of this to work, it would be neat to see a guide for it.
//Edit: Has anyone ever heard of an AGP riser card? Essentially a daughterboard that plugs into the AGP slot vertically and allows for additional AGP expansion slots?