I'm not sure you can do it cheap. It's sort of like trying to take on a cheap cocaine habit. But I think you can do it for a few thousand -- or you can spend a lot more. My 265g probably stands somewhere around $40k and climbing, but that includes a lot of custom woodwork, custom tank and steel stand, and lots of components.
Two tips I'd offer: 1) buy good gear. If you buy the cheap gear, it usually ends up being the money you waste before buying the good stuff. This is particularly true for skimmers and pumps. You might get away with cheaper lights, stand and canopy - maybe even the tank.
and 2) don't be afraid to swap out gear. I've found that, if I don't like the gear I have and want to swap it out, I can usually sell the used gear for pretty good value online. For example, I recently decided to swap out a couple Vortech pumps for some Gyre's. Initially, I didn't want to make the investment but bit the bullet. I haven't sold the Vortechs yet but I'm confident that, because they're relatively new, I'll get back enough to cover the cost of the Gyres.