If you know where I can get a cheap used round pen... lemme know!!
This is what we're using to build our "arena". Field Guardian Stirrup Post 10pk - Statelinetack.com
It's 150' x 100'. The posts, 18 wooden post tensioners, and webbing cost us $510 including the delivery charges. We bought 6 4x4 posts (one for each corner and two for the gate) for another $35, and the gate for $79.99.
We put in a regular gate because of the size, but you can also make a web "gate" with a spring they have on the site as well. The spring costs a few bucks.
To make a smaller area, or "round" pen, it would be much less than what we paid, and we got out cheap.
I got the idea from another horse forum, and they didn't use corner posts at all. We chose to for reinforcement since we have such sandy soil.
Some of the things I like about it is that it's cheap, it's flexible so if anyone were to fall or be run into it you won't have broken bones from THAT impact anyway, and it's super easy to maintain/repair.
ETA: We have a round pen and a much smaller paddock that I've used for her lessons. She's gotten really bored really fast. The arena size is allowing us to add some obstacles to work around, like barrels and poles so she can start working on patterns and such. We've done this in our front pasture, but it's really larger than I feel comfortable with without her on a lead line. But, it helps keep them both more interested in it :)
Food for thought :)