Yep I gotta agree with IG,

(don't tell him, his head might swell

)
Go with a gas forge. There are lots of plans and pictures on Darren Ellis's website:
http://refractory.elliscustomknifeworks.com/
He can fix you up with the lining material as well. Great quality and service, and good prices to boot.
I made my forge out of an old propane tank. Its probably not the safest project but I don't think you face any great harm if you think about what your doing and take some precautions (I'm talking about cutting up a propane tank, building the forge is pretty easy)
I never bothered to do the exact math but I'm pretty sure I came in under $200, even having to buy a propane tank (the tank I cut up had the old stly valve and wasn't legal to fill), regulator and all that.
Here is my forge:
http://www.bladeforums.com/forums/showthread.php?t=308343&highlight=compact+forge
There are some things I would change if I were doing it again, but it works very well for the most part. I have added a blower since that thread. Actually its a little craftsmen shop vac thats built so you can switch the hose and have it blow instead of suck

I used a 90 degree elbow and 2" ball valve to hook the shop vac hose right to the back of the burner. The ball valve lets me adjust the amount of air flow so that I get a good flame that doesn't scale too badly. Forge burns a good bit hotter now, and no chugging no matter how windy it is.Before it would burn really well, but strong winds would make it less consistent.