You can purchase costumes which are handmade and tailored for you, and these sometimes are sold by burners. I think supporting burners who are making a living by creating and sewing is a great idea. The downside is that this can get really expensive.
Scour clearance sales, there's some good stuff on sale right now (cough cough) Hot Topic has clearance kilts for $12 this week, add pockets or a pod belt and you're golden. I picked up thigh high red stiletto boots for MyLarry there last night, only $10. Great basic to build a costume on!
Thrift shops, certainly, unless you live in Utah where the pricers have gone mad and Wal-Mart is cheaper. Not that I would shop Wal-Mart, I'm just sayin' I don't have access to good thrift shops. Boo.
Learn basic sewing. I've seen a simple sewing machine for $20. Really, called a Dress Shark.
Don't underestimate eBay if you can't find what you like in local stores, I've picked up clothes from India and Egypt which I just love for wearing in the desert heat. And yukata,cotton kimono from Japan. Fabulous.