It really depends on what kind of yarn you use...I got a gift certificate to my LYS once and got a couple of skeins of Koigu to make a pair of socks. If I'd paid for that myself, it would have been about 20 bucks (US)!!!
But on the internet, you can often find really good deals.
Elann.com has sock yarn for about $5.00 US for enough to make a pair.
Webs also has closeouts and they sometimes have really nice sock yarn for cheap:
(On the menu on the left, go to closeouts and/or Grandpa's garage...I have yet to figure out the exact difference between these two).
Lion Brand also makes a sock yarn that is fairly inexpensive, although I've never used it myself.