I teach high school physics and I use a lot of expensive probeware to collect data. The only reason I can do this is my school has been collecting the probes over a number of years, building our collection slowly over time. For those who aren't science teachers, probeware refers to a collection of interfaces used to connect a variety of sensors to a computer or graphing calculator. These interfaces can allow for real time data collection and graphing or can serve as data-loggers collecting data over time.
The two largest vendors of educational probeware are Vernier and Pasco:
Not every school has the ability/money to do probeware based labs, however. So, here is a description of how to create a really simple probe that will allow you to see the fluctuations in light caused by alternating current or see the signal from a TV remote control (as well as do other things I'll describe in a future Instructable).
Total cost is less than $5, but you need a computer with an oscilloscope program installed.
Visual Analyser - Free oscilloscope program for Windows. http://www.sillanumsoft.com/
Audacity - Can be used as a recording oscilloscope. http://audacity.sourceforge.net/