I suppose it depends on how you define "expensive," but they really aren't. I believe the application fee is on the order of a few thousand dollars (in the US only, of course; you can easily rack up a hefty fee if you need to apply in multiple jurisdictions). Doing the actual application and enumerating the claims isn't trivial, but I do know laypeople who have successfully applied for and been granted patents with minimal help from a lawyer (that's where patent applications can get expensive).

EDIT: It's even less than I thought from the USPTO side; see http://www.uspto.gov/web/offices/ac/qs/ope/fee2009september1...