Step 1: Make or acquire art
Most cities will hold artists' open studios, where you can walk around checking out neat art, meeting the artists, and generally poking through interesting live/work spaces. This means you can find work by young/unknown artists, who are usually much less expensive than big-name artists yet often just as talented, and that you don't have to pay exorbitant gallery markups. Get out and look around- meet some neat people, support a starving artist, and get inspired to make something yourself.
I found a neat piece by Emily Keyishian. You can check out her art during the SF open studios every October, or as listed on her website. Of course, this picture needed an equally impressive frame. Having spent all my money on art, I got to make the frame myself.