Moderatly. Not as bad as, say, Warhammer, but it's not exactly free either.
Starter set will run you from 10-20 dollars, depending on what game (Mage Knight, Heroclix, or Mechwarrior: Dark Age), and where you buy it.
Booster boxes will run you from 5-10 dollars, depending on the same factors.
If you have any stores that sell things like after-market magic cards and so forth (For us, around here, it's called The Fun Factory

), you can get individual figs starting at about 75 cents and going up, depending on how rare and/or in demand it is.
You really should at least buy the basic set though on its own... it gives you the rules for the game, as well as dice and a little flexi tape measure.
Going for MW: Dark Age, since its the one I'm currently playing, a starter set normaly gives you enough to play with (Around 300 points worth... the "average" game level for MW and MK, not sure for Heroclix), but not really optimized or anything. Sorta like buying a starter deck for magic.
It's a collectible game, but it's not as bad as, say, Magic... for MW, I think there is only like 119 figs in the entire game right now, for example, and "killer combos" aren't a big problem in the MW game... they were a bit of one in MK, and I don't know enough about Heroclix to comment. So don't think your gonna have to spend 500 bucks to get anything close to a useable game. I've spent about 75$ bucks on MW, but most of that was just because I wanted to, not because I needed to.