Most people quilt on their home sewing machines. That is definitely the least expensive option! This can even be done on a cheap Brother. It helps, though, to have a good quality machine. Many people here like the Janome 6000p, which is a domestic machine with a longer throat and many features. Cost for that is around $1,500 and it can be used for home sewing and piecing as well as quilting.
For quilting only, the Handiquilter and other home quilting systems start at around $1,500. In general, the lower the cost the smaller the harp area of the machine. (The harp is the area under the arm where you fit in the rolled-up quilt.) Harp area is important because it determines what size area you can quilt towards the end of your quilt. Rule of thumb is to allow at least 7 inches of harp area for the quilt roll for machine/frame setups. Midarm machines start at around 13" of harp area, which leaves only about 5" of quilting area when you get to the end of a large quilt. Longarm machines start at around 16" of harp area.
I would recommend joining the homequiltingsystems group at
http://groups.yahoo.com to learn more about the many different types of quilt frame setups.
Meanwhile, if you simply want to start quilting your own quilts, I recommend purchasing a better quality domestic machine to start with. The midarm/frame setups, although becoming more common, are typically for experienced quilters who know they will use it enough to be worth the expense.