Depends on how tight your budget is. Look at the stealth forum (lots of set ups on the cheap), and do lots of READING before you spend a dime or pop a seed or design your setups.
Many hydro shops around here sell used HPS and MH lights and lots of people use exclusively CFLs for small grows. If you go organic you can get rid of all the liquid nutrients and save money. Organics is about creating micro colonies of bacteria and fungi to break down the nutes in your soil into bio-available forms. You can buy colonies for big bucks, or you can create your own. Check out Korean Natural Farming techniques for an easy way to make your own colonies.
www.prokashi.com/videos
If you do want to stick with liquid, salt based nutes or hydro there are cheaper brands of nutes than FF, GH and the like that are great for this. Blue Planet Nutrients and CX Hydroponics are two brands that come to mind. I have recently met a few people who have switched to CX because of the value and I have talked extensively with the owner/creator of BPN. I would say that neither of these are lower quality than the big guys on the market. They are simply working on much smaller profit margins because they are new companies trying to break into a market that is difficult to get into. We, as a whole, are a very brand loyal bunch of consumers. Makes it tough on those late to the game.
Long story short. Researching ahead will cut down on costly mistakes, don't try to go too big if you want to begin cheaply, and to help you with what you need to get started you need to come up with a budget, how much product you realistically expect each time and a style of grow that you want to do before anyone can really give you much in the way of quality advise.
Really, the cheapest way to grow would be a gorilla grow - but it is also the biggest gamble.