This is a way, after about $25-$30 initial investment, to build sub-$10 Arduino-compatible boards with very little extra time investment on each.
Note that the basic idea here (Arduino on a breadboard) has been done for quite some time (e.g ITP Arduino Breadboard instructions); however the cable adapter build & usage instructions here help absolutely minimize the parts count for each core.
This project requires knowledge of soldering and basic electronics, and you should have at least some experience already with Arduino development. I don't suggest this as a first electronics project.
note: I pronounce uDuino "moo DWEE noh"
Added 02-05-08: (for pretty advanced folks) One of the tools I built with this is a logic capture tool -- kind of a basic logic analyzer. I developed this to troubleshoot communications links. Needs a gui interface, but doubt I'll get around to it any time soon. Still dang useful in the right hands.
Added 06-23-09: I'd like to point out the RBBB's from Modern Device for anyone who wants something with solder, but also super inexpensive -- especially if you get the bare boards and buy parts in bulk. Also their USB-BUB is a cheaper alternative to the FT232 cable.