I first started roasting my own coffee after reading about it and researching it online. I used a $5 popcorn popper I found at a thrift store. I finally bought an iRoast, which is essentially a heavy duty, digitally timed, temperature controlled popcorn popper. It runs about $160. You can buy your green coffee beans from online sources, such as sweetmarias.com. They have articles about popcorn poppers and other methods, too. Also, coffeegeek.com has a coffee roaster forum. I'm always worried that I'll post something there about my SSM, but so far, so good.
Does it make a difference? Oh yeah. Better, fresher taste. It is actually cheaper than buying roasted beans at the store (if you know the right sources), and those store beans may have been sitting around for weeks. Plus, there is the brag factor.