They are seemingly expensive, but worth EVERY penny. We paid about 8,500 for ours back in late '94/early '95 and we'd gotten 85,000 worth of playtime out of it when we sold the house in '03. We went with a large structure and used rubber mulch on the top 6 inches, which was great if kids tumbled.
We worked with a play structure specialist to determine what we wanted and our boys--and their friends--would enjoy. Our structure included 4 swings, a fire pole, large covered 'playhouse' with a real roof--fabric ones leak and rot, tire swing, several sets of stairs to reduce crowding/pushing when groups were playing, monkey bars, climbing wall and three slides.
Most people I know who built smaller structures were unhappy or felt they outgrew it rather quickly. When we sold that home the family came right out and told us that the play structure had been what had them choose our home over several others they looked at, so I saw that as a huge plus, too!
Good luck!