It is an interesting concept. I began really researching this a bit today. Although intriguing, I could find little specific information on the topic. There seem to be about only five strains of algae that are usable for this purpose. Growing it seems pretty straight forward, but the extraction process is very foggy. I couldn't locate any specific info on how to get the oil out of the algea. I've been contimplating making bio deisel, and thought it'd be cool to to grow you own oil. I've got quite a bit of land that's not doing much. The concensus amoung the the "professionals" seems to be that a closed bioreactor would be the most feasable way to grow the algae. I could't find a spell checker, so sorry for the misspellings.
There have been companies developing this for atleat 5 yrs now. They estimate they can produce as much as 10 times as much oil from algae than other crops for a given surface area. The extraction process is the same as any other crop, just run them through a press and squeeze it out. The one place I saw them producing algae farm for biofuel used clear plastic piping, the algae are grown in the tubes and as the water flows around there is a point that the algue are removed and sent to the presses. That is all there is to it. I can't remember the link or the site name now. The price they wanted for a plant is quite expensive. But in looking at the process it is pretty simple, once you have the alge growing you just keep removing them to make room for more to grow. I suspect after you extract the oil from the algae you could just feed the biomass back into the system and let the algae use it to make more. Have to maintain the water chemistry for optimal growth and such.