You may be able to find used sets on eBay (Hypnobabies sells brand new sets there for a discount sometimes, too). By buying new, you would guarantee that everything is there. If you buy used and stuff is missing, you can order replacement pieces from Hypnobabies, but you'd have to pay for them. If you buy new, you could sell yours used when you're done and offset the cost.
Personally, I think it's worth every penny. :-) My epidural with my first cost $1,000 and I liked Hypnobabies better. :-P