Yeah, unless you personally know a flight instructor that can give you discounted lessons, you have to pay to play. I guess if you also know someone with a plane they will let you use for free, it would drastically reduce the cost since you have to basically rent the aircraft you learn in. One of my roommates got his license, and I think it cost him $100 or so every time he took the plane up....and that doesnt include the lessons themselves.
Maybe you could start with an ultralight? $8k-$12k and 10 hours of training and you are good to go. Scary as hell! But lots of fun.
Yeah it's a bit spendy, the local airport is about $93 an hour for the plane and $30 an hour for the instructor. All told it's close to 5 grand to do it. Fortunately I should be coming back from this deployment with a few grand and that'll get me a good part of the way there.
Do it in Mountain Home. It is one of the cheapest places in the country to get your pilot's license. It is almost half price in MH compared to where my folks live in Wyoming. Cheaper than MT by a whole lot too.