It is really expensive, but it can be done! I'm far from being rich, so I've just really had to search for the great deals and save my money. I got a beautiful used show saddle by Bob's for $2500 from cowdogs saddles, and then most of my clothes I bought from ebay or from Show Me Again (usually in the clearance section). You can get some really great deals.
I have been showing on the AQHA circuit for many years, and I know of quite of few other people just like me, and you would never know by our appearance (clothes, tack, etc.) that we had to really do the budge route (of course, I will never be riding in a Blue Ribbon, but I feel Bob's is a good alternative). I have one friend who buys her shirts at the Macy's or Nordstrom sales, and she looks absolutely stunning with a shirt she bought for $25.00. So, don't give up! It is actually quite fun searching.