My roaster costs some bucks, but you can roast coffee with as little as a hand popcorn popper. A small air roaster will run you about $120.00. You can see one at:
http://www.sweetmarias.com/sweetmarias/coffee-roasters/air-roasters/sr300.html
Roasting your own allows you to roast the beans to the level YOU want. Most store and coffee shop stuff (especially Starbucks) has the life roasted out of the beans. Coffee also is very volatile. After initial off-gassing, coffee begins to stale within a couple of days.
I like Sweet Marias because they have small lot coffee that you can't generally find elsewhere. You'll find coffee from just about any coffee region in the world there. Also, the prices are VERY good. You can roast some pretty exotic stuff for about the same price you'll buy Maxwell House at from your local grocery store.
A good place to start would be to take a look at a basic tutorial. You'll find a good one at:
http://www.sweetmarias.com/instructions.php
Good luck! You'll find this a great hobby!