Okay, I've noticed a lot of people saying that it is very expensive.
If you look around you can get some pretty good deals:
Tippmann 98 Power Pack : As low as $180 includes 9oz tank, mask, and a tippmann 98 custom, which is a good gun to start with and can be upgraded to beastly proportions
Paintballs : An average case of good paintballs, not tournament grade runs around $40, but it has 2000 rounds.
CO2 : A 20 oz tank runs about $25 - $30 with fills costing about $5, and can last well over 1000 shots. I got 1250 out of one tank full.
Upgrades : If you want to go all out upgrading your gun I suggest buying stuff off ebay or a similar site, to get cheap parts from people who are turning away from paintball *evil*
Okay, so the average shot with a paintball gun costs about 2.5 cents. Figuring a case of 2000 costs $40 and a tank fill costs $5. So as long as you dont go too trigger happy its not extremely expensive, I admit it is very costly, but if you shop around you can get better prices.