Writing your own Burp Extensions is a great way to understand how the Burp Suite software works. As mentioned earlier, we can write extensions in Java, Python, and Ruby by simply setting up the environment correctly.
Note
There is a project by Lift Security, called burpbuddy, that exposes a certain functionality of Burp and allows the creation of extensions in any language without the restrictions of JVM. For more information on this, visit https://github.com/liftsecurity/burpbuddy.
The best place to get started with writing extensions is to read the following blog post:
http://blog.portswigger.net/2012/12/writing-your-first-burp-extension.html
The step-by-step process with the basic template code explains what it takes to write your own extension and load it on Burp Suite.