I've built and used a vacuform setup and am currently working on a version 2 of mine. That said, they aren't too expensive; I built my first one for under a hundred dollers, but I had most of the stuff already. The trick is that you need a good vacuum to get details into the plastic, the more suction the better the detail.
Here's a really good tutorial that I used in making my first one, the one I'm currently working on is my own design. http://www.tk560.com/vactable4.html