We have a place here called The Railroad Supply, NO idea where they came up with that name, but they sell the metal and stuff to make the loafing sheds and barns and such. I priced out the materials for my shed and it was right around $500 and it's large enough for 3 horses, no problem.
Go to Lowe's and Home Depot and ask where their Cull Lumber pile is. They will have 2 X 4's and such that are a little twisted, or just not QUITE perfect for the home building trade, and you can usually buy them at 50% off and save a lot of money on your supports and stringers, too.
My 3 sided shed ended up costing me less than $600 and it's plenty spacious and sturdy.