The first one I had I build out of an existing drum pad kit and with triggers built from Radio Shack Piezo transducers. It took a little bit of tweaking and modifying to get it rock solid and able to withstand full on playing, but it's very doable. All told you could build a set for $100- $200, depending on how much you pay for the pad set. The piezo triggers can be found at Radio Shack for like $2 each: http://www.radioshack.com/product/index.jsp?productId=2062402.
Or, you could build a set from an old cheapo drum kit, put on mesh heads and attach the triggers. It won't give you all the dynamics of a full-on Roland or Yamaha electronic kit, but it will be hundreds if not thousands cheaper.
Thomann.de , I just ordered the Millenium MPS 300 kit with alesis Trigger IO, check them out realy cheap stuff but works, and you can transform them onto mesheads, lots of tutorials on youtube on this...