A simple AM radio is pretty cheap in terms of components, although if you want a fairly decent crystal radio you're gonna have to get stuck into some of the electronics a bit. I've found the easiest way to get involved and stuck in is to buy some of the 100-in-1 electronics kits where they have a bunch of stuff from integrated circuits to simple transistors etc that you can attach to eachother by using small bits of wire. They're great fun, cheap, and you can build a lot simple electronic circuits with them.