I recently bought an oxy-acetylene welding setup as my first welder. Besides being able to weld, it will also allow you to cut, shape, heat, and braze metal for whatever you want to make. From what my friends tell me it is more difficult than other kinds of welding, but I've never welded in my life before I bought this setup and I didn't think it was too bad. After a couple of afternoons practicing I was able to put make ,what I at least think, are good beads. The cost for the torch and regulators was $200 for a Victor medium-duty rig. I also had to lease the pair of tanks for year for $25 a tank plus the initial fill cost of $25 for a total of $100. Other tools I bought once I got going were a Sawzall and an angle grinder. Add other miscellaneous tools like a handcart, tip cleaner, gloves, spare goggles, strikers, etc and the cost is about $600. The cost for all of the tools above is about equal to a QUALITY Mig welder by itself with that will only let you do one thing. Before I bought anything I read and re-read "The Welders Handbook" by Richard Finch and "Welding Essentials - Questions and Answers" by William Galvery and Frank Marlow.
-Matt