The materials for making holograms (laser, holographic film, developing chemicals) aren't too terribly expensive. One of the big problems with making holograms yourself is vibration. When I've exposed holograms, they use a ~5 second exposure time. Vibrations on the order of a wavelength of light (~600nm) during this exposure time will blur the hologram. Some people get around this at home with a slab of concrete / metal resting on an old tire inner-tube.

Of course, others of us use the nice floating on compressed-air optics tables in the labs where they work.

If you do google searching on holography or holography supplies you'll see lots of links. Looks like a starter kit might be aorund $400:
http://www.imagesco.com/catalog/holo...upplies01.html

Hope this answers some questions.
-Bash