Microprocessors are so cheap these days. If only there were a way to program them up just as cheaply...
*wavy dream-sequence lines*
In this instructable, find out how to build up a complete AVR microprocessor toolchain: compiler, programmer software, programmer hardware, and some simple demos to get your feet wet.
From there, it's just a hop, skip, and a jump to world domination.
The endpoint is not quite as swanky as Atmel's suite, but it's gonna run you about $150 less and take only a little more work to get it set up.
This instructable is based on the Atmel ATtiny 2313 chip, mostly because it's one of the smaller chips (in size) while still being beefy enough to do most anything. And at $3 a pop (non-bulk), they don't break the bank.
That said, most of the steps are applicable across the AVR family, so you'll be able to re-use most everything when your programming needs outgrow the ATtiny and you reach for the $8-$12 ATmegas.
Update Aug 24, 2007: I've gone USB! It's neither ghetto nor particularly deluxe, but a nice middle ground. If you've got a computer without a parallel port, check this http://www.instructibles.com/id/EDRQZ56F5LD8KDX/ out.
If you've got a parallel port, or are just feeling cheap, read on!