Nearly any art-related hobby can be expensive depending upon the materials used. Beading is certainly no exception, and is in fact one of the more extreme cases. For example, one could easily find a package of crackle glass beads at a craft store for less than $3, while a strand of highly-prized rhodochrosite beads can run upwards of $150. This is not to say that jewelry made with the 3-dollar beads looks any less spectacular. A true artisan can make just about any bead or finding into something beautiful.
But sometimes, even the most frugal beader wants to splurge. Perhaps for a birthday gift, a wedding, any number of special occasions where perhaps that precious stone or Swarovski crystal would be more than appropriate. The price tag for such glamour doesn't have to destroy your budget, either.
Within the past few years, the larger chain craft stores (i.e. Michaels or Hobby Lobby) have been carrying a wider array of beads--including Swarovski crystals, Delicas, and some semi-precious stones. Their prices are generally reasonable, but best of all, they frequently go on sale. Check your local newspaper on a regular basis to catch them!
Online bead stores are another great place to look. There are several spectacular sites out there.
Fire Mountain Gems is one of the largest, with fantastic prices. Orders of 15 items or more automatically net a discount. They also have frequent sales, but to find out about them you have to join their mailing list. A small price to pay to have access to $2 strands of freshwater pearls and other such lovelies. Another site to check out is
Eebeads.com. They specialize in small quantities, so you don't have to purchase more than you need, which can often cost much less. (I for one hate buying a 16-inch strand of beads just to make a pair of earrings and a bracelet.)
If you're looking for that semi-precious stone of choice, you might have some luck at your local rock shop. They almost always have wrappable quartz points for mere cents (my local shop has them 3 for a quarter), and sometimes they even have bead strands. Probably my greatest find ever was in an unassuming rock shop in Vernal, Utah--a strand of A-grade lilac lepidolite beads with pink tourmaline inclusions for $16! You might just get lucky!
Other beaders I've known have mentioned thrift stores, which are a great place to find bits of broken jewelry--jewelry just begging to be given new life.
I know I've merely scratched the surface here. If you have any other great suggestions, feel free to leave a comment! There are so many places to look, so many treasures to find, and best of all--it doesn't need to break the bank in the process. :)