http://m.instructables.com/id/Cardboard-Cold-Smoker/

Certainly seems like the least expensive way to go.

I saw an episode of New Scandanavian Cooking where he made a smoker out of a defunct refrigerator. I don't have the space to keep something like that, but I see dead (and sometimes not dead) refrigerators on the free page of Craigslist all the time. I can't find a link to the episode, but if that sounds like something you'd be interested in, at least now you know it's out there.

use a cold smoker tube in your regular grill (with it off): http://www.amazenproducts.com/ProductDetails.asp?ProductCode=AMNTS

Use smoked salt

I have an electric smoker that does a very good job of both hot & cold smoke (depending on the setting) in a relatively small footprint. They are a bit of an investment, but not overwhelmingly so. Mine is a Bradley (http://www.bradleysmoker.com/) which can be found at a number of places. The forums on the Bradley website do have a lot of insite and good recipes.

Just saw this on Food52: http://www.food52.com/blog/4074_curing_your_own_gravlax

Old metal filing cabinets make good cold smokers if you have room for one in your garden - they have bars for hanging things from built in already.
I've had this thing recommended to me too: http://www.macsbbq.co.uk/Order%20USA.html
It's pretty effective in action, you'll need to run two full ones of those to smoke a side of salmon.