a microcontroller is basically just a chip.
it depends on what you want to do: doing your own development board is more time consuming, but cheaper, and it allows more flexibility. you can get raw AVRs, PICs, ARMs this way.
you can also get a ready-made devleopment board, "augumented microcontroller" as they call it around here. such is the axon.
there are also a lot of other boards out there, such as the arduino and freeduino for avr, mikroelectronica does some really nice ones for PIC, etc..