There are two options for providing power to the lights a "bottle" generator on a bracket or a hub generator built into a wheel. One you have that power source any modern production lights are wired to the generator with ease. A wheel build with a generator is going to run over $100, where a bottle generator will run $15-$50 plus $7-$20 for a bracket, plus the cost of lights (~$25-$30 for the rear, front ~$50-$120 depending on which model you go with in terms of brightness). Adding the lighting and your choice of generator isn't any more difficult than bolting on any other accessories.

See these links for information & pricing:
http://lovelybike.blogspot.com/2010/...or-bottle.html
http://www.peterwhitecycles.com/headlights.asp
http://harriscyclery.net/product-lis...28/?rb_ct=1459
http://clevercycles.com/blog/product...ator-lighting/