A couple of weeks back Shilo shared his Video Game Minifig Series. Duke Nukem was included in that group, but Shilo gave him a bit of an upgrade.
He modified the Lifeguard Collectible Minfigure by using Brasso to reduce some of her 'assets'. He's also added some great new guns, and changed the skin tone to classic yellow.
The harness Duke is wearing is from the Cobi line of LEGO compatible toys. If you can't find Cobi in your area, FireStar Toys has a collection of sets and parts.
You can see more of Shilo's custom creations, including his new series of James Bond figures, on his Flickr stream.