Here's how to make a good cheap vacuum former for making stuff up to about 14 x 20 inches, with plastic up to about 1/8" thick, using your kitchen oven and a vacuum cleaner:http://www.instructables.com/id/E8RW98YF3C4XLCQ/
The vacuum former itself costs about $40 and takes less than two hours to make.
You can add a high vacuum system to it for forming thick plastics, up to about 1/4" thick, so you can make parts sturdy enough that you can kick them, stand on them, etc., without breaking them. For the occasional sturdy part like that, you can use a manual vacuum pump made from an old-fashioned bike pump ("floor pump") for under $20; the conversion takes about 20 minutes:http://www.instructables.com/id/EA58LR1F35J1I9N/
If you're going to be making more than a very few thick parts, you probably want an electric pump. (You'll get tired using the bike pump.) Here's a cheap one made from a 12 V tire inflator compressor:http://www.instructables.com/id/E791HNXF23Z39P6/
Mine cost a few dollars to make, using a tire inflator I found for $2 at the Goodwill Outlet. You can also use a FoodSaver-type kitchen vacuum sealer, or a "Nebulizer" air pump.
For plastic up to 12" x 18", you can make a standalone oven from a $15 two-burner electric hot plate and some disposable aluminum pans:http://www.rcgroups.com/forums/showthread.php?t=621858
The oven takes less than an hour to make, costs less than $30, and works great.
With a $40 vacuum former and a $40 high vacuum system, you can make professional-quality vacuum formed parts. Add a $30 oven and you can do it anywhere, not awkwardly on the kitchen floor. For a little over $100, you can make a kick-ass vacuum former.
If you want a big one, you can make one comparably cheaply, at a cost proportional to its size.
If you're interested in making vacuum formers, big or small, for really cheap, check outhttp://www.VacuumFormerPlans.com