Building a wheel can be expensive, yes. But if you compare the life of the hub to how much you'll have spent in batteries, the hub probably ends up being cheaper in the long run. Better for the environment too. And really, the quality and quantity of light from a dyno hub and some decent lights is better than any battery or rechargeable light I've ever had.

This is what I paid: Lights were from Peter White and I think front and back combined cost me maybe $60 with shipping. The wheel (hub, spokes and rim) was $132, so lets be generous and say it will cost about $200 to get set up. $200 would buy a lot of batteries, true. But I'm really happy with my set up and consider it money well spent.