What about using a high side or cheaper low side curent sensor IC ? Some can be found pretty cheap these days (probably cheaper than a home made circuit) and they can be found in I2C or SPI output flavor, just slap any MCU there to record the data. It should be good up to few kHz region, just check the datasheets to be sure.
Now if you want to be up to the MHz region then that's another story, we are talking about a not so easy analog front end, a pretty serious ADC probably JEDC204B interface and a decent FPGA to manage it. That's probably much more complex than the remaining of the PCB you want to monitor. Plus if you are monitoring the board power supply, you probably have loads of decoupling capacitor there that limit the bandwidth anyway so i don't see the point in this.
Just my 2cts...