Here's my mash tun. I believe the total cost was around $20.

What you'll need:
a length of tubing (about 6 feet)
a drilled rubber stopper (1" diameter)
a 5 gallon cooler
a plumbing hose with the steel mesh coating.

First thing's first, cut the two ends of the plumbing hose and work the steel mesh off the rubber portion. I don't have a pic of this, because i did it a long time ago. Next bend the ends inward with a pair of pliers so that there aren't any sharp pointy metal bits sticking out. This step is merely for the luxury of not bleeding every time you brew. If you're cool with a little extra red in your beer, go ahead and skip it. Fold the one end over on itself to seal it off, you don't want the grain bits to get in.

Now grab that cooler and remove the spigot from the bottom. They're usually held in place by a large plastic nut on the inside. Keep that in mind if you are shopping for one. You'll want to gravitate towards one that has the removable spigot.

Here's a shot of all your stuff after you've completed these steps:

You can see how the end is folded in on itself on the steel braid.

Now all you need to do is shove the stopper onto the tubing about 6 inches from the end, with the smaller end facing toward the longer length of tube. After that is in place, work the braid onto the tube so that the end of it sits very close to the stopper. Here's a pic to illustrate:



After you have that set up, just thread the unadorned end of the tubing through the inside hole of the cooler where the spigot used to be. When you reach the stopper, make sure it's tight, but don't pull it all the way through. The weight of the grain/water will keep it in place. You just want to stop it from leaking out.



Now you're ready for action. you can use the handles to hold the tubing in place, and loop the end over itself to keep the water from leaking out no matter how full the tun is. Here's a shot of it all put together.



And there you have it. One more piece of all grain gear on the cheap.